Asymptotic expansion of the quadratic variation of a mixed fractional Brownian motion (Q2194056): Difference between revisions
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English | Asymptotic expansion of the quadratic variation of a mixed fractional Brownian motion |
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Asymptotic expansion of the quadratic variation of a mixed fractional Brownian motion (English)
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25 August 2020
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The authors obtain a higher-order asymptotic expansion for the distribution of the quadratic variation of the mixed fractional Brownian motion which is the sum of a Brownian motion and an independent fractional Brownian motion. The approach is based on the analysis of cumulants. It is shown that the Brownian and fractional Brownian parts contribute to the asymptotic expansion. Asymptotic expansions for fractional Brownian motion have been studied in [\textit{C. A. Tudor} and \textit{N. Yoshida}, Stochastic Processes Appl. 129, No. 9, 3499--3526 (2019; Zbl 1429.60054)] and in [\textit{D. Nualart} and \textit{N. Yoshida}, Electron. J. Probab. 24, Paper No. 119, 64 p. (2019; Zbl 1448.60119)].
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mixed fractional Brownian motion
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quadratic variation
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asymptotic expansion
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