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

DOI10.1007/S10959-017-0749-1MaRDI QIDQ1800946zbMATH OpenOpenAlexFDO

Authors Raghid Zeineddine

Publication date 26 October 2018

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

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

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)

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.

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Cites work

• scientific article; zbMATH DE number 1342045 (Why is no real title available?)
• An Itô type formula for the fractional Brownian motion in Brownian time
• Central and non-central limit theorems for weighted power variations of fractional Brownian motion
• Change-of-variable formula for the bi-dimensional fractional Brownian motion in Brownian time
• Fluctuations of the power variation of fractional Brownian motion in Brownian time
• Generalized covariations, local time and Stratonovich Itô's formula for fractional Brownian motion with Hurst index \(H\geq\frac 1 4\).
• Normal approximations with Malliavin calculus. From Stein's method to universality
• Stochastic calculus for Brownian motion on a Brownian fracture
• The weak stratonovich integral with respect to fractional Brownian motion with Hurst parameter 1/6
• Weighted power variations of iterated Brownian motion

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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