Asymptotic behavior of weighted quadratic variation of bi-fractional Brownian motion
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Publication:982749
DOI10.5802/ambp.281zbMath1196.60066OpenAlexW2499790063MaRDI QIDQ982749
Publication date: 27 July 2010
Published in: Annales Mathématiques Blaise Pascal (Search for Journal in Brave)
Full work available at URL: http://www.numdam.org/item?id=AMBP_2010__17_1_165_0
Fractional processes, including fractional Brownian motion (60G22) Stochastic calculus of variations and the Malliavin calculus (60H07) (L^p)-limit theorems (60F25)
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Cites Work
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- Asymptotic behavior of weighted quadratic variations of fractional Brownian motion: the critical case \(H=1/4\)
- Milstein's type schemes for fractional SDEs
- Central limit theorems for non-linear functionals of Gaussian fields
- Sample path properties of bifractional Brownian motion
- Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion
- On bifractional Brownian motion
- Asymptotic behavior of weighted quadratic and cubic variations of fractional Brownian motion
- The Malliavin Calculus and Related Topics
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