Error bounds on the non-normal approximation of Hermite power variations of fractional Brownian motion

DOI10.1214/ECP.v13-1415zbMath1189.60084arXiv0804.2528MaRDI QIDQ1038906

Ivan Nourdin, Jean-Christophe Breton

Publication date: 20 November 2009

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0804.2528

zbMATH Keywords

fractional Brownian motion non-central limit theorem multiple stochastic integrals total variation distance Hermite power variation Hermite random variable

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Stochastic calculus of variations and the Malliavin calculus (60H07)

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