Convergence of certain functionals of integral fractional processes

DOI10.1007/S10959-008-0158-6MaRDI QIDQ1047151zbMATH OpenOpenAlexFDO

Authors José Manuel Corcuera, David Nualart, Jeannette Woerner

Publication date 4 January 2010

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10959-008-0158-6

zbMATH Keywords

fractional Brownian motionstable convergence

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Strong limit theorems (60F15) Self-similar stochastic processes (60G18)

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• Convergence in fractional models and applications
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Cites work

• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• An inequality of the Hölder type, connected with Stieltjes integration
• CLT and other limit theorems for functionals of Gaussian processes
• Estimating the diffusion coefficient for diffusions driven by fBm
• Law of the iterated logarithm for sums of non-linear functions of Gaussian variables that exhibit a long range dependence
• Power variation of some integral fractional processes
• Stable Convergence of Certain Functionals of Diffusions Driven by fBm
• Weak convergence to fractional brownian motion and to the rosenblatt process

Cited in

(18)

• Asymptotic properties of integral functionals of fractional Brownian fields
• Integrated functionals of normal and fractional processes
• Power variation of some integral fractional processes
• scientific article; zbMATH DE number 5363773 (Why is no real title available?)
• Joint convergence along different subsequences of the signed cubic variation of fractional Brownian motion
• Multivariate central limit theorems for averages of fractional Volterra processes and applications to parameter estimation
• On weak approximations of integrals with respect to fractional Brownian motion
• Weak convergence to a modified fractional Brownian motion
• Joint convergence along different subsequences of the signed cubic variation of fractional Brownian motion. II.
• Asymptotic properties of integral functionals of geometric stochastic processes
• Asymptotic theory for quadratic variation of harmonizable fractional stable processes
• Weak convergence of integral functionals of random walks weakly convergent to fractional Brownian motion
• Cross-variation of Young integral with respect to long-memory fractional Brownian motions
• REPRESENTATION AND WEAK CONVERGENCE OF STOCHASTIC INTEGRALS WITH FRACTIONAL INTEGRATOR PROCESSES
• Convergence in fractional models and applications
• Stable Convergence of Certain Functionals of Diffusions Driven by fBm
• Power variations in fractional Sobolev spaces for a class of parabolic stochastic PDEs
• Asymptotic behavior of oscillatory fractional processes

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