Asymptotic behavior of weighted quadratic and cubic variations of fractional Brownian motion (Q2519679)
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scientific article; zbMATH DE number 5498411
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| English | Asymptotic behavior of weighted quadratic and cubic variations of fractional Brownian motion |
scientific article; zbMATH DE number 5498411 |
Statements
Asymptotic behavior of weighted quadratic and cubic variations of fractional Brownian motion (English)
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27 January 2009
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fractional Brownian motion
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Breuer and Major theorem
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weighted quadratic variation
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weighted cubic variation
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exact rate of convergence
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Malliavin calculus
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0.904479682445526
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0.8858373165130615
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0.8856554627418518
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0.8763353824615479
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