On non-standard limits of Brownian semi-stationary processes

DOI10.1016/j.spa.2014.09.019zbMath1327.60060arXiv1403.6484OpenAlexW2159973384MaRDI QIDQ2512851

Kerstin Gärtner, Mark Podolskij

Publication date: 30 January 2015

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1403.6484

zbMATH Keywords

limit theoremsstable convergencehigh frequency statisticsBrownian semi-stationary processes

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Strong limit theorems (60F15) Generalizations of martingales (60G48) Stochastic integrals (60H05) Functional limit theorems; invariance principles (60F17)

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Cites Work

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• Central limit theorems for sequences of multiple stochastic integrals
• Limit Theorems for Functionals of Higher Order Differences of Brownian Semi-Stationary Processes
• Asymptotics of weighted random sums
• Time Change, Volatility, and Turbulence
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