Asymptotic behavior of weighted quadratic variations of fractional Brownian motion: the critical case \(H=1/4\)

DOI10.1214/09-AOP473zbMath1200.60023arXiv0802.3307MaRDI QIDQ971938

Ivan Nourdin, Anthony Réveillac

Publication date: 17 May 2010

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0802.3307

zbMATH Keywords

weak convergence; fractional Brownian motion; Malliavin calculus; change of variable formula; quartic process; weighted quadratic variations

Mathematics Subject Classification ID

60F05: Central limit and other weak theorems

60G22: Fractional processes, including fractional Brownian motion

60H05: Stochastic integrals

60H07: Stochastic calculus of variations and the Malliavin calculus

Related Items

Variance Estimation for Fractional Brownian Motions with Fixed Hurst Parameters, Limit theorems for a class of integral functionals driven by fractional Brownian motion, Quantitative stable limit theorems on the Wiener space, Central limit theorem for a Stratonovich integral with Malliavin calculus, Stein's method for invariant measures of diffusions via Malliavin calculus, Remarks on asymptotic behavior of weighted quadratic variation of subfractional Brownian motion, Central and non-central limit theorems for weighted power variations of fractional Brownian motion, Rearrangements of Gaussian fields, On Simpson's rule and fractional Brownian motion with \(H = 1/10\), Central limit theorems for multiple Skorokhod integrals, Asymptotic behavior of weighted quadratic variation of bi-fractional Brownian motion, Weak symmetric integrals with respect to the fractional Brownian motion, Central limit theorems and parameter estimation associated with a weighted-fractional Brownian motion, Forecasting of time data with using fractional Brownian motion, On limit theory for Lévy semi-stationary processes, First-order Euler scheme for SDEs driven by fractional Brownian motions: the rough case, A change of variable formula with Itô correction term, Power variations for fractional type infinitely divisible random fields, Rate of convergence for the weighted Hermite variations of the fractional Brownian motion, Discrete rough paths and limit theorems, Joint convergence along different subsequences of the signed cubic variation of fractional Brownian motion, Necessary and sufficient conditions for limit theorems for quadratic variations of Gaussian sequences, Central limit theorem for an additive functional of the fractional Brownian motion, The Calculus of Differentials for the Weak Stratonovich Integral, Malliavin Calculus and Self Normalized Sums, HERMITE VARIATIONS OF THE FRACTIONAL BROWNIAN SHEET, Berry-Esséen Bounds for Long Memory Moving Averages via Stein's Method and Malliavin Calculus

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Central and non-central limit theorems for weighted power variations of fractional Brownian motion
• Central limit theorems for multiple Skorokhod integrals
• Milstein's type schemes for fractional SDEs
• A decomposition of the bifractional Brownian motion and some applications
• Estimation of quadratic variation for two-parameter diffusions
• Weighted power variations of iterated Brownian motion
• Central limit theorems for non-linear functionals of Gaussian fields
• Generalized covariations, local time and Stratonovich Itô's formula for fractional Brownian motion with Hurst index \(H\geq\frac 1 4\).
• A change of variable formula with Itô correction term
• Variations of the solution to a stochastic heat equation
• Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion
• \(m\)-order integrals and generalized Itô's formula; the case of a fractional Brownian motion with any Hurst index
• Asymptotic behavior of weighted quadratic and cubic variations of fractional Brownian motion
• Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter \(H \in (0,\frac {1}{2})\)
• The Malliavin Calculus and Related Topics
• Convergence of Finite-Dimensional Laws of the Weighted Quadratic Variations Process for Some Fractional Brownian Sheets
• CLT and other limit theorems for functionals of Gaussian processes
• Asymptotics of particle trajectories in infinite one-dimensional systems with collisions
• Convergence of integrated processes of arbitrary Hermite rank
• Non-central limit theorems for non-linear functional of Gaussian fields
• Diffusion with “collisions” between particles