Joint convergence along different subsequences of the signed cubic variation of fractional Brownian motion

DOI10.1007/S00440-013-0511-2zbMATH Open1310.60033arXiv1210.1560OpenAlexW2724312043MaRDI QIDQ2249587FDOQ2249587

David Nualart, Jason Swanson, K. Burdzy

Publication date: 2 July 2014

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Abstract: The purpose of this paper is to study the convergence in distribution of two subsequences of the signed cubic variation of the fractional Brownian motion with Hurst parameter $H=1/6$. We prove that, under some conditions on both subsequences, the limit is a two-dimensional Brownian motion whose components may be correlated and we find explicit formulae for its covariance function.

Full work available at URL: https://arxiv.org/abs/1210.1560

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zbMATH Keywords

covariance functionfractional Brownian motionconvergence in lawcubic variation

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Functional limit theorems; invariance principles (60F17)

Cites Work

• The Malliavin Calculus and Related Topics
• Central limit theorems for non-linear functionals of Gaussian fields
• CLT and other limit theorems for functionals of Gaussian processes
• Normal approximations with Malliavin calculus. From Stein's method to universality
• Central limit theorems for multiple stochastic integrals and Malliavin calculus
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• The weak stratonovich integral with respect to fractional Brownian motion with Hurst parameter 1/6
• Asymptotic behavior of weighted quadratic variations of fractional Brownian motion: the critical case \(H=1/4\)
• Quantitative Breuer-Major theorems
• A change of variable formula with Itô correction term

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