Approximation of fractional local times: zero energy and derivatives
DOI10.1214/20-AAP1643zbMath1476.60068arXiv1903.08683OpenAlexW3209348036MaRDI QIDQ2240878
Ivan Nourdin, Giovanni Peccati, Arturo Jaramillo
Publication date: 4 November 2021
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1903.08683
functional limit theoremsfractional Brownian motionMalliavin calculushigh-frequency observationsderivatives of the local time
Fractional processes, including fractional Brownian motion (60G22) Stochastic calculus of variations and the Malliavin calculus (60H07) Functional limit theorems; invariance principles (60F17) Local time and additive functionals (60J55)
Related Items (5)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- On the Tanaka formula for the derivative of self-intersection local time of fractional Brownian motion
- On tightness and weak convergence in the approximation of the occupation measure of fractional Brownian motion
- Joint continuity of the local times of fractional Brownian sheets
- Central limit theorem for an additive functional of the fractional Brownian motion. II.
- Integration par parties dans l'espace de Wiener et approximation du temps local. (Integration by parts in the Wiener space and approximation of local time)
- Geometric properties of fractional Brownian sheets
- On the character of convergence to Brownian local time. II
- Occupation densities
- Comportement asymptotique du temps d'occupation du processus des sommes partielles. (Asymptotical behavior of the occupation time of partial sums)
- Rates of convergence to the local time of a diffusion
- Nonparametric estimation of a scalar diffusion model from discrete time data: a survey
- Convergence of functionals of sums of r.v.s to local times of fractional stable motions.
- Tanaka formula for the fractional Brownian motion.
- Approximation of occupation time functionals
- Central limit theorem for an additive functional of the fractional Brownian motion
- Normal Approximations with Malliavin Calculus
- The Derivative of the Intersection Local Time of Brownian Motion Through Wiener Chaos
- ASYMPTOTIC THEORY FOR ZERO ENERGY FUNCTIONALS WITH NONPARAMETRIC REGRESSION APPLICATIONS
- ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION
- The Malliavin Calculus and Related Topics
- On the Derivative of Local Time for the Brownian Sheet with Respect to a Space Variable
- Some Useful Functions for Functional Limit Theorems
- Volatility is rough
- CHAOS EXPANSION OF LOCAL TIME OF FRACTIONAL BROWNIAN MOTIONS
- Harmonic Analysis of Local Times and Sample Functions of Gaussian Processes
- Gaussian Processes with Stationary Increments: Local Times and Sample Function Properties
- Random Walks and A Sojourn Density Process of Brownian Motion
- On certain limit theorems of the theory of probability
- Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models
This page was built for publication: Approximation of fractional local times: zero energy and derivatives