Asymptotic error distribution for the Riemann approximation of integrals driven by fractional Brownian motion

DOI10.1214/22-EJP852MaRDI QIDQ2084843

Ivan Nourdin, Valentin Garino, Pierre Vallois

Publication date: 13 October 2022

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2005.02621

zbMATH Keywords

fractional Brownian motionRosenblatt processRiemann sumMalliavin-Stein approach

Mathematics Subject Classification ID

Gaussian processes (60G15) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (1)

A central limit theorem for some generalized martingale arrays

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