Central limit theorem for an additive functional of the fractional Brownian motion (Q2438748): Difference between revisions

The paper considers a central limit theorem for additive functionals of the type \[ \left(n^{\beta} \int_{0}^{nt} f(B_s) ds\right)_{t \geq 0}, \] where \((B_t)_{t \geq 0}\) is a \(d\)-dimensional fractional Brownian motion with Hurst index \(H \in (0,1)\), \(Hd<1\) and \(f: \mathbb{R}^d \rightarrow \mathbb{R}\) is an integrable function. For \(\beta =Hd-1\), the occupation formula gives the weak convergence to \[ \left(L_t(0) \int_{\mathbb{R}^d} f(x) dx\right)_{t \geq 0}, \] where \(L_t(x)\) is the local time of the fractional Brownian motion. Extending results for the standard Brownian motion in [\textit{G. C. Papanicolaou} et al., 1976 Duke Turbul. Conf., Durham 1976, VI.1--VI.120 (1977; Zbl 0387.60067)] and dealing with the class of functions \[ H^{\beta}_0 = \left\{f \in L^1(\mathbb{R}^d) : \int_{\mathbb{R}^d} |f(x)| |x|^{\beta} dx< \infty , \int_{\mathbb{R}^d} f(x) dx=0\right\}, \] the main result of this paper is the weak convergence of the processes \[ \left(n^{(Hd-1)/2} \int_{0}^{nt} f(B_s) ds\right)_{t \geq 0} \] towards \[ \left(C_{H,d} \|f\|^2_{1/H-d} W(L_t(0))\right)_{t \geq 0}, \] for \(1/(d+1) <H<1/d\), \(f \in H^{1/H-d}_0\), some constant \(C_{H,d}\), the finite and nonnegative quantity \[ \|f\|^2_{1/H-d} = -\int_{\mathbb{R}^{2d}}f(x)f(y)|x-y|^{1/H-d}dx dy, \] and a standard Brownian motion \((W_t)_{t \geq 0}\) which is independent of the fractional Brownian motion. The proof is essentially based on the method of moments. A notable continuation of this work is the accompanying article [\textit{D. Nualart} and \textit{F. Xu}, Electron. Commun. Probab. 18, No. 74, 1--10 (2013)], where the proofs are simplified by Fourier methods.