Asymptotic behavior of weighted power variations of fractional Brownian motion in Brownian time

DOI10.1007/S10959-017-0749-1zbMATH Open1404.60053arXiv1604.03157OpenAlexW2963603830MaRDI QIDQ1800946FDOQ1800946

Authors: Raghid Zeineddine 

Publication date: 26 October 2018

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

Abstract: We study the asymptotic behavior of weighted power variations of fractional Brownian motion in Brownian time Z_t:= X_{Y_t}, t >= 0, where X is a fractional Brownian motion and Y is an independent Brownian motion.

Full work available at URL: https://arxiv.org/abs/1604.03157

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zbMATH Keywords

Malliavin calculusfractional Brownian motionlimit theoremweighted power variationsfractional Brownian motion in Brownian time

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic calculus of variations and the Malliavin calculus (60H07) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05)

Cites Work

• Normal approximations with Malliavin calculus. From Stein's method to universality
• Weighted power variations of iterated Brownian motion
• Central and non-central limit theorems for weighted power variations of fractional Brownian motion
• The weak stratonovich integral with respect to fractional Brownian motion with Hurst parameter 1/6
• Generalized covariations, local time and Stratonovich Itô's formula for fractional Brownian motion with Hurst index \(H\geq\frac 1 4\).
• Title not available (Why is that?)
• Stochastic calculus for Brownian motion on a Brownian fracture
• Fluctuations of the power variation of fractional Brownian motion in Brownian time
• Change-of-variable formula for the bi-dimensional fractional Brownian motion in Brownian time
• An Itô type formula for the fractional Brownian motion in Brownian time

Cited In (6)

• Asymptotic behavior of weighted quadratic variations of fractional Brownian motion: the critical case \(H=1/4\)
• Weighted power variations of iterated Brownian motion
• The quadratic variation of Brownian motion on a time scale
• 带跳的分数维Brown 运动幂变差的渐近行为
• Fluctuations of the power variation of fractional Brownian motion in Brownian time
• Asymptotic behavior of weighted quadratic variation of tempered fractional Brownian motion

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