Asymptotic error distribution for the Riemann approximation of integrals driven by fractional Brownian motion (Q2084843)
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English | Asymptotic error distribution for the Riemann approximation of integrals driven by fractional Brownian motion |
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Asymptotic error distribution for the Riemann approximation of integrals driven by fractional Brownian motion (English)
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13 October 2022
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The authors show the first and second order convergence of the Riemann sum approximations of stochastic integrals with respect to the fractional Browian motion of index \(H \geq 1/2\). In the case of second order convergence, the process obtained in the limit is a stochastic integral with respect to the Rosenblatt process if \(3/4<H<1\), and with respect to standard Brownian motion if \(1/2<H \leq 3/4\). Examples of suitable integrand processes include processes that are ``controlled'' by the increments of the integrator, fractional semimartingales, and multiple Wiener-Itô integrals.
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fractional Brownian motion
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Malliavin-Stein approach
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Riemann sum
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Rosenblatt process
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