Central limit theorem for an additive functional of the fractional Brownian motion
View/ Open
Issue Date
2014-01-09Author
Hu, Yaozhong
Nualart, David
Xu, Fangjun
Publisher
Institute of Mathematical Statistics
Type
Article
Article Version
Scholarly/refereed, publisher version
Metadata
Show full item recordAbstract
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.
Description
This is the published version, also available here: http://www.dx.doi.org/10.1214/12-AOP825.
Collections
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.
Items in KU ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.
We want to hear from you! Please share your stories about how Open Access to this item benefits YOU.