Error bounds on the non-normal approximation of Hermite power variations of fractional Brownian motion

DOI10.1214/ECP.v13-1415zbMath1189.60084arXiv0804.2528MaRDI QIDQ1038906

Ivan Nourdin, Jean-Christophe Breton

Publication date: 20 November 2009

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

Full work available at URL: https://arxiv.org/abs/0804.2528

zbMATH Keywords

fractional Brownian motion; non-central limit theorem; multiple stochastic integrals; total variation distance; Hermite power variation; Hermite random variable

Mathematics Subject Classification ID

60F05: Central limit and other weak theorems

60G22: Fractional processes, including fractional Brownian motion

60H07: Stochastic calculus of variations and the Malliavin calculus

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