Cross-variation of Young integral with respect to long-memory fractional Brownian motions

zbMath1343.60067arXiv1311.2895MaRDI QIDQ5741256

Ivan Nourdin, Rola Zintout

Publication date: 22 July 2016

Full work available at URL: https://arxiv.org/abs/1311.2895

zbMATH Keywords

fractional Brownian motionstochastic differential equationsRosenblatt processBreuer-Major theoremYoung integralsTaqqu's theorem

Mathematics Subject Classification ID

Gaussian processes (60G15) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Self-similar stochastic processes (60G18) Functional limit theorems; invariance principles (60F17)

Related Items (2)

Asymptotics of the cross-variation of Young integrals with respect to a general self-similar Gaussian process ⋮ Forecasting of time data with using fractional Brownian motion

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