Asymptotic behavior of weighted quadratic variation of bi-fractional Brownian motion (Q982749)
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scientific article; zbMATH DE number 5761665
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| English | Asymptotic behavior of weighted quadratic variation of bi-fractional Brownian motion |
scientific article; zbMATH DE number 5761665 |
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Asymptotic behavior of weighted quadratic variation of bi-fractional Brownian motion (English)
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27 July 2010
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From the author's abstract: We prove, by means of Malliavin calculus, the convergence in \(L^2\) of some properly renormalized weighted quadratic variations of bi-fractional Brownian motion (biFBM) with parameters \(H\) and \(K\), when \(H< 1/4\) and \(K\in (0,1]\).
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bi-fractional Brownian motion
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weighted quadratic variations
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Malliavin calculus
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0.9044390320777892
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0.8858373165130615
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0.8427258133888245
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0.8385093212127686
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0.8279005885124207
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