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

DOI10.1007/S00440-013-0511-2MaRDI QIDQ2249587zbMATH OpenOpenAlexFDO

Authors K. Burdzy, David Nualart, Jason Swanson

Publication date 2 July 2014

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

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

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)

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.

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Cites work

• scientific article; zbMATH DE number 2149887 (Why is no real title available?)
• A change of variable formula with Itô correction term
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• Normal approximations with Malliavin calculus. From Stein's method to universality
• Quantitative Breuer-Major theorems
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Cited in

(3)

• scientific article; zbMATH DE number 6611612 (Why is no real title available?)
• Asymptotic behavior of weighted cubic variation of sub-fractional Brownian motion
• Joint convergence along different subsequences of the signed cubic variation of fractional Brownian motion. II.

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