The weak stratonovich integral with respect to fractional Brownian motion with Hurst parameter 1/6

DOI10.1214/EJP.v15-843zbMath1225.60089arXiv1006.4238MaRDI QIDQ638368

Ivan Nourdin, Jason Swanson, Anthony Réveillac

Publication date: 9 September 2011

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1006.4238

zbMATH Keywords

weak convergencefractional Brownian motionMalliavin calculusstochastic integrationStratonovich integral

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

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