Limit theorems for a class of integral functionals driven by fractional Brownian motion

DOI10.1080/03610926.2021.1917616OpenAlexW3162377055MaRDI QIDQ5875245

Litan Yan, Xiaoyu Xia

Publication date: 3 February 2023

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2021.1917616

zbMATH Keywords

quadratic functionalscentral limit theoremfractional Brownianfractional Brownian bridge

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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• Selected aspects of fractional Brownian motion.
• Central and non-central limit theorems for weighted power variations of fractional Brownian motion
• Asymptotic behavior of weighted quadratic variations of fractional Brownian motion: the critical case \(H=1/4\)
• Weighted power variations of iterated Brownian motion
• Fubini's theorem for double Wiener integrals and the variance of the Brownian path
• Central limit theorems for multiple stochastic integrals and Malliavin calculus
• Central limit theorems for sequences of multiple stochastic integrals
• Asymptotic behavior of weighted quadratic and cubic variations of fractional Brownian motion
• Analysis of Variations for Self-similar Processes
• Parameter Estimation for α-Fractional Bridges
• Integral transformations and anticipative calculus for fractional Brownian motions
• The Malliavin Calculus and Related Topics
• Stochastic calculus with respect to Gaussian processes

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