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

DOI10.1007/s10959-017-0749-1zbMath1404.60053arXiv1604.03157OpenAlexW2963603830MaRDI QIDQ1800946

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

fractional Brownian motionMalliavin calculuslimit theoremweighted power variationsfractional Brownian motion in Brownian time

Mathematics Subject Classification ID

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

Cites Work

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• 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
• Weighted power variations of iterated Brownian motion
• Generalized covariations, local time and Stratonovich Itô's formula for fractional Brownian motion with Hurst index \(H\geq\frac 1 4\).
• Stochastic calculus for Brownian motion on a Brownian fracture
• Fluctuations of the power variation of fractional Brownian motion in Brownian time
• An Itô type formula for the fractional Brownian motion in Brownian time
• Normal Approximations with Malliavin Calculus
• Change-of-variable formula for the bi-dimensional fractional Brownian motion in Brownian time