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^*

^*此作品的通讯作者

统计学院

科研成果: 期刊稿件 › 文章 › 同行评审

3 引用（Scopus）

摘要

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.

源语言	英语
页（从-至）	941-957
页数	17
期刊	Journal of Theoretical Probability
卷	29
期	3
DOI	https://doi.org/10.1007/s10959-015-0604-1
出版状态	已出版 - 1 9月 2016

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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",

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

AU - Bi, Junna

AU - Xu, Fangjun

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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

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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

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