Limits for weighted \(p\)-variations and likewise functionals of fractional diffusions with drift

DOI10.1016/j.spa.2006.05.016zbMath1110.60023OpenAlexW2089280160MaRDI QIDQ869098

Carenne Ludeña, José Rafael León

Publication date: 26 February 2007

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

Full work available at URL: https://doi.org/10.1016/j.spa.2006.05.016

zbMATH Keywords

fractional Brownian motion

Mathematics Subject Classification ID

Gaussian processes (60G15) Brownian motion (60J65) Self-similar stochastic processes (60G18) Functional limit theorems; invariance principles (60F17) Local time and additive functionals (60J55)

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Order estimate of functionals related to fractional Brownian motion ⋮ Central and non-central limit theorems for weighted power variations of fractional Brownian motion ⋮ Discrete rough paths and limit theorems ⋮ First-order Euler scheme for SDEs driven by fractional Brownian motions: the rough case ⋮ Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion ⋮ Quantitative Breuer-Major theorems ⋮ Variations and estimators for self-similarity parameters via Malliavin calculus ⋮ Milstein's type schemes for fractional SDEs ⋮ Asymptotic behavior of weighted quadratic and cubic variations of fractional Brownian motion ⋮ Power variation for Gaussian processes with stationary increments ⋮ Variations and estimators for self-similarity parameter of sub-fractional Brownian motion via Malliavin calculus ⋮ Difference based estimators and infill statistics

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