Fluctuations of the power variation of fractional Brownian motion in Brownian time

DOI10.3150/13-BEJ586zbMath1325.60056arXiv1304.5696MaRDI QIDQ2348725

Raghid Zeineddine

Publication date: 15 June 2015

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1304.5696

zbMATH Keywords

fractional Brownian motionfluctuationspower variationBrownian time

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22)

Related Items (2)

Generalized Cauchy process based on heavy-tailed distribution and grey relational analysis for reliability predicting of distribution systems ⋮ Asymptotic behavior of weighted power variations of fractional Brownian motion in Brownian time

Cites Work

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• The uniform modulus of continuity of iterated Brownian motion
• Power variation of some integral fractional processes
• Power variation for Gaussian processes with stationary increments
• Weighted power variations of iterated Brownian motion
• Central limit theorems for non-linear functionals of Gaussian fields
• Brownian motion in a Brownian crack
• Stochastic calculus for Brownian motion on a Brownian fracture
• Central limit theorems for sequences of multiple stochastic integrals
• Normal Approximations with Malliavin Calculus
• A limit theorem related to a new class of self similar processes

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