Central limit theorem for functionals of two independent fractional Brownian motions

David Nualart; Fangjun Xu

doi:10.1016/j.spa.2014.07.002

Central limit theorem for functionals of two independent fractional Brownian motions

David Nualart
, Fangjun Xu^*

^*Corresponding author for this work

School of Statistics

University of Kansas

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

6 Scopus citations

Abstract

We prove a central limit theorem for functionals of two independent d-dimensional fractional Brownian motions with the same Hurst index H in (2d+2,2d) using the method of moments.

Original language	English
Pages (from-to)	3782-3806
Number of pages	25
Journal	Stochastic Processes and their Applications
Volume	124
Issue number	11
DOIs	https://doi.org/10.1016/j.spa.2014.07.002
State	Published - Nov 2014

Keywords

Fractional Brownian motion
Intersection local time
Local time
Method of moments

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10.1016/j.spa.2014.07.002

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title = "Central limit theorem for functionals of two independent fractional Brownian motions",

abstract = "We prove a central limit theorem for functionals of two independent d-dimensional fractional Brownian motions with the same Hurst index H in (2d+2,2d) using the method of moments.",

keywords = "Fractional Brownian motion, Intersection local time, Local time, Method of moments",

author = "David Nualart and Fangjun Xu",

year = "2014",

month = nov,

doi = "10.1016/j.spa.2014.07.002",

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volume = "124",

pages = "3782--3806",

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T1 - Central limit theorem for functionals of two independent fractional Brownian motions

AU - Nualart, David

AU - Xu, Fangjun

PY - 2014/11

Y1 - 2014/11

N2 - We prove a central limit theorem for functionals of two independent d-dimensional fractional Brownian motions with the same Hurst index H in (2d+2,2d) using the method of moments.

AB - We prove a central limit theorem for functionals of two independent d-dimensional fractional Brownian motions with the same Hurst index H in (2d+2,2d) using the method of moments.

KW - Fractional Brownian motion

KW - Intersection local time

KW - Local time

KW - Method of moments

UR - https://www.scopus.com/pages/publications/84905014981

U2 - 10.1016/j.spa.2014.07.002

DO - 10.1016/j.spa.2014.07.002

M3 - 文章

AN - SCOPUS:84905014981

SN - 0304-4149

VL - 124

SP - 3782

EP - 3806

JO - Stochastic Processes and their Applications

JF - Stochastic Processes and their Applications

IS - 11

ER -

Central limit theorem for functionals of two independent fractional Brownian motions

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Keywords

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