A fractional Donsker theorem

DOI10.1080/07362994.2013.866521MaRDI QIDQ5413864zbMATH OpenOpenAlexFDO

Authors Peter Parczewski

Publication date 2 May 2014

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362994.2013.866521

zbMATH Keywords

fractional Brownian motioninvariance principleweak convergence

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22)

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Cites work

• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• Approximating a geometric fractional Brownian motion and related processes via discrete Wick calculus
• Equivalence of Volterra processes.
• Fractional Brownian motion and martingale-differences
• Fractional Brownian motion, random walks and binary market models
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Stochastic analysis in discrete and continuous settings. With normal martingales.
• Stochastic analysis of the fractional Brownian motion
• Stochastic Calculus for Fractional Brownian Motion and Applications
• Stochastic calculus for fractional Brownian motion and related processes.
• Stochastic integration with respect to Volterra processes
• The Malliavin Calculus and Related Topics
• Transformation formulas for fractional Brownian motion
• Weak convergence of integral functionals of random walks weakly convergent to fractional Brownian motion
• Weak convergence to fractional brownian motion and to the rosenblatt process

Cited in

(12)

• The self-normalized Donsker theorem revisited
• Strong approximation of fractional Brownian motion by moving averages of simple random walks.
• Parameter identification for mixed fractional Brownian motions with the drift parameter
• Weak and strong discrete-time approximation of fractional SDEs
• Donsker type theorem for fractional Poisson process
• Donsker-type theorems for correlated geometric fractional Brownian motions and related processes
• Squarefrees are Gaussian in short intervals
• A fractional imbedding theorem
• A fractional analogue of Brooks' theorem
• Fractional Sylvester–Gallai theorems
• Weak approximation of fractional SDEs: the Donsker setting
• Functional central limit theorems for rough volatility

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