Central limit theorem for weighted local time of \(L^2\) modulus of fractional Brownian motion

DOI10.1016/j.jkss.2012.01.008zbMath1296.60055OpenAlexW2046702178MaRDI QIDQ457621

Cheng Ju, Litan Yan, Chao Chen

Publication date: 29 September 2014

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2012.01.008

zbMATH Keywords

Malliavin calculusTanaka formulafractional Clark-Ocone formulaKnight's theorem

Mathematics Subject Classification ID

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)

Cites Work

• Unnamed Item
• Itô's formula with respect to fractional Brownian motion and its application
• Hölder properties of local times for fractional Brownian motions
• Stochastic integral representation of the \(L^{2}\) modulus of Brownian local time and a central limit theorem
• Tanaka formula for the fractional Brownian motion.
• A CLT for the \(L^{2}\) modulus of continuity of Brownian local time
• The Malliavin Calculus and Related Topics
• On the Clark-Ocone Theorem for Fractional Brownian Motions with Hurst Parameter bigger than a Half
• Weighted Local Time for Fractional Brownian Motion and Applications to Finance
• Stochastic integration with respect to the fractional Brownian motion
• Stochastic Calculus for Fractional Brownian Motion I. Theory
• Stochastic Calculus for Fractional Brownian Motion and Applications

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