Continuity in the Hurst parameter of the law of the Wiener integral with respect to the fractional Brownian motion
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Publication:962012
DOI10.1016/j.spl.2009.12.011zbMath1206.60042OpenAlexW2070058965MaRDI QIDQ962012
Publication date: 1 April 2010
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2009.12.011
Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12)
Related Items (5)
Continuity in law for solutions of SPDES with space-time homogeneous Gaussian noise ⋮ Continuity with respect to the Hurst parameter of solutions to stochastic evolution equations driven by \(H\)-valued fractional Brownian motion ⋮ SPDEs with linear multiplicative fractional noise: continuity in law with respect to the Hurst index ⋮ Continuity in the Hurst parameter of the law of the symmetric integral with respect to the fractional Brownian motion ⋮ SPDEs with fractional noise in space: continuity in law with respect to the Hurst index
Cites Work
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- Stochastic analysis of the fractional Brownian motion
- Are classes of deterministic integrands for fractional Brownian motion on an interval complete?
- Multiple fractional integral with Hurst parameter less than \(\frac {1}{2}\)
- Continuity in law with respect to the Hurst parameter of the local time of the fractional Brownian motion
- Continuity with respect to the Hurst parameter of the laws of the multiple fractional integrals
- Stochastic calculus with respect to Gaussian processes
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