Weak convergence to a class of two-parameter Gaussian processes from a Lévy sheet.

In this paper, we show an approximation in law, in the space of continuous functions on [0, I]2, of two-parameter Gaussian processes that can be represented as a Wiener type integral by processes constructed from processes that converge to the Brownian sheet. As an application, we obtain a sequence of processes constructed from a Lévy sheet that converges in law towards the fractional Brownian sheet. [ABSTRACT FROM AUTHOR]