A first-order limit law for functionals of two independent fractional Brownian motions in the critical case

Junna Bi; Fangjun Xu

doi:10.1007/s10959-015-0604-1

A first-order limit law for functionals of two independent fractional Brownian motions in the critical case

Junna Bi
, Fangjun Xu^*

^*Corresponding author for this work

School of Statistics

Research output: Contribution to journal › Article › peer-review

3 Scopus citations

Abstract

We prove a first-order limit law for functionals of two independent d-dimensional fractional Brownian motions with the same Hurst index H=2/d(d≥4), using the method of moments and extending a result by LeGall in the case of Brownian motion.

Original language	English
Pages (from-to)	941-957
Number of pages	17
Journal	Journal of Theoretical Probability
Volume	29
Issue number	3
DOIs	https://doi.org/10.1007/s10959-015-0604-1
State	Published - 1 Sep 2016

Keywords

Fractional Brownian motion
Limit theorem
Method of moments
Short range dependence

Access to Document

10.1007/s10959-015-0604-1

Cite this

@article{6c97da9d8a2c47d7acbdbe6c189ec9e3,

title = "A first-order limit law for functionals of two independent fractional Brownian motions in the critical case",

abstract = "We prove a first-order limit law for functionals of two independent d-dimensional fractional Brownian motions with the same Hurst index H=2/d(d≥4), using the method of moments and extending a result by LeGall in the case of Brownian motion.",

keywords = "Fractional Brownian motion, Limit theorem, Method of moments, Short range dependence",

author = "Junna Bi and Fangjun Xu",

note = "Publisher Copyright: {\textcopyright} 2015, Springer Science+Business Media New York.",

year = "2016",

month = sep,

day = "1",

doi = "10.1007/s10959-015-0604-1",

language = "英语",

volume = "29",

pages = "941--957",

journal = "Journal of Theoretical Probability",

issn = "0894-9840",

publisher = "Springer New York",

number = "3",

}

TY - JOUR

T1 - A first-order limit law for functionals of two independent fractional Brownian motions in the critical case

AU - Bi, Junna

AU - Xu, Fangjun

PY - 2016/9/1

Y1 - 2016/9/1

N2 - We prove a first-order limit law for functionals of two independent d-dimensional fractional Brownian motions with the same Hurst index H=2/d(d≥4), using the method of moments and extending a result by LeGall in the case of Brownian motion.

AB - We prove a first-order limit law for functionals of two independent d-dimensional fractional Brownian motions with the same Hurst index H=2/d(d≥4), using the method of moments and extending a result by LeGall in the case of Brownian motion.

KW - Fractional Brownian motion

KW - Limit theorem

KW - Method of moments

KW - Short range dependence

UR - https://www.scopus.com/pages/publications/84923668432

U2 - 10.1007/s10959-015-0604-1

DO - 10.1007/s10959-015-0604-1

M3 - 文章

AN - SCOPUS:84923668432

SN - 0894-9840

VL - 29

SP - 941

EP - 957

JO - Journal of Theoretical Probability

JF - Journal of Theoretical Probability

IS - 3

ER -

A first-order limit law for functionals of two independent fractional Brownian motions in the critical case

Abstract

Keywords

Access to Document

Other files and links

Fingerprint

Cite this