Central limit theorem for an additive functional of the fractional brownian motion II

David Nualart; Fangjun Xu

doi:10.1214/ECP.v18-2761

Central limit theorem for an additive functional of the fractional brownian motion II

David Nualart, Fangjun Xu

School of Statistics

University of Kansas

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

12 Scopus citations

Abstract

We prove a central limit theorem for an additive functional of the d-dimensional fractional Brownian motion with Hurst index H ∈ (1/d+2,1/d), using the method of moments, extending the result by Papanicolaou, Stroock and Varadhan in the case of the standard Brownian motion.

Original language	English
Article number	74
Journal	Electronic Communications in Probability
Volume	18
DOIs	https://doi.org/10.1214/ECP.v18-2761
State	Published - 2013

Keywords

Central limit theorem
Fractional brownian motion
Local time
Method of moments

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10.1214/ECP.v18-2761

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title = "Central limit theorem for an additive functional of the fractional brownian motion II",

abstract = "We prove a central limit theorem for an additive functional of the d-dimensional fractional Brownian motion with Hurst index H ∈ (1/d+2,1/d), using the method of moments, extending the result by Papanicolaou, Stroock and Varadhan in the case of the standard Brownian motion.",

keywords = "Central limit theorem, Fractional brownian motion, Local time, Method of moments",

author = "David Nualart and Fangjun Xu",

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AU - Nualart, David

AU - Xu, Fangjun

PY - 2013

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N2 - We prove a central limit theorem for an additive functional of the d-dimensional fractional Brownian motion with Hurst index H ∈ (1/d+2,1/d), using the method of moments, extending the result by Papanicolaou, Stroock and Varadhan in the case of the standard Brownian motion.

AB - We prove a central limit theorem for an additive functional of the d-dimensional fractional Brownian motion with Hurst index H ∈ (1/d+2,1/d), using the method of moments, extending the result by Papanicolaou, Stroock and Varadhan in the case of the standard Brownian motion.

KW - Central limit theorem

KW - Fractional brownian motion

KW - Local time

KW - Method of moments

UR - https://www.scopus.com/pages/publications/84883627932

U2 - 10.1214/ECP.v18-2761

DO - 10.1214/ECP.v18-2761

M3 - 文章

AN - SCOPUS:84883627932

SN - 1083-589X

VL - 18

JO - Electronic Communications in Probability

JF - Electronic Communications in Probability

M1 - 74

ER -

Central limit theorem for an additive functional of the fractional brownian motion II

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Keywords

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