Order estimate of functionals related to fractional Brownian motion

DOI10.1016/j.spa.2023.04.014OpenAlexW4366524754MaRDI QIDQ6157010

Hayate Yamagishi, Nakahiro Yoshida

Publication date: 19 June 2023

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

Full work available at URL: https://doi.org/10.1016/j.spa.2023.04.014

zbMATH Keywords

fractional Brownian motionMalliavin calculusexponentSobolev normweighted graphmultiple stochastic integral

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Martingales with continuous parameter (60G44) Stochastic calculus of variations and the Malliavin calculus (60H07)

Cites Work

• Unnamed Item
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• Limits for weighted \(p\)-variations and likewise functionals of fractional diffusions with drift
• Asymptotic optimal inference for non-ergodic models
• Malliavin calculus and asymptotic expansion for martingales
• Martingale expansion in mixed normal limit
• Asymptotic expansion of the quadratic variation of a mixed fractional Brownian motion
• Asymptotic expansion of Skorohod integrals
• Edgeworth expansion for the pre-averaging estimator
• Edgeworth expansion for Euler approximation of continuous diffusion processes
• The Malliavin Calculus and Related Topics
• Malliavin calculus and martingale expansion

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