Convergence in fractional models and applications

DOI10.1214/EJP.V10-172zbMATH Open1070.60022MaRDI QIDQ1767559FDOQ1767559

Authors: Corinne Berzin, José R. León 

Publication date: 8 March 2005

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

Full work available at URL: https://eudml.org/doc/125065

Recommendations

• Convergence of certain functionals of integral fractional processes
• Limit theorems for functions of a fractional Brownian motion
• Inference on the Hurst parameter and the variance of diffusions driven by fractional Brownian motion
• Estimating the Hurst parameter
• Continuity in the Hurst parameter of the law of the Wiener integral with respect to the fractional Brownian motion

zbMATH Keywords

rate of convergencefractional Brownian motionlocal timelimit theoremLevel crossings

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Gaussian processes (60G15) Central limit and other weak theorems (60F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Self-similar stochastic processes (60G18)

Cited In (14)

• Distribution processes with stationary fractional increments
• Estimation in models driven by fractional Brownian motion
• Asymptotic theory for fractional regression models via Malliavin calculus
• 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
• Convergence of certain functionals of integral fractional processes
• Limit theorems for functions of a fractional Brownian motion
• Asymptotic behavior for bi-fractional regression models via Malliavin calculus
• On tightness and weak convergence in the approximation of the occupation measure of fractional Brownian motion
• Joint convergence along different subsequences of the signed cubic variation of fractional Brownian motion. II.
• Estimation of the volatility persistence in a discretely observed diffusion model
• Inference on the Hurst parameter and the variance of diffusions driven by fractional Brownian motion
• Convergence of the maximum probability of success in the problem of quantile hedging for a model of an asset price process with long-range dependence
• Asymptotic behavior of oscillatory fractional processes

This page was built for publication: Convergence in fractional models and applications

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1767559)