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Central limit theorem for an additive functional of the fractional Brownian motion

Hu, Yaozhong
; 
Nualart, David
; 
Xu, Fangjun
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Abstract
We prove a central limit theorem for an additive functional of the d-dimensional fractional Brownian motion with Hurst index H∈(11+d,1d), using the method of moments, extending the result by Papanicolaou, Stroock and Varadhan in the case of the standard Brownian motion.
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This is the published version, also available here: http://www.dx.doi.org/10.1214/12-AOP825.
Date
2014-01-09
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Institute of Mathematical Statistics
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Mathematics Scholarly Works
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NualartD_AP_42(1)168.pdf
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Keywords
Frational Brownian motion, central limit theorem, local time, method of moments
Citation
Hu, Yaozhong; Nualart, David; Xu, Fangjun. Central limit theorem for an additive functional of the fractional Brownian motion. Ann. Probab. 42 (2014), no. 1, 168--203. http://www.dx.doi.org/10.1214/12-AOP825.
URI
https://hdl.handle.net/1808/16972
DOI
10.1214/12-AOP825
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