Fluctuations of the power variation of fractional Brownian motion in Brownian time

DOI10.3150/13-BEJ586MaRDI QIDQ2348725zbMATH OpenFDO

Authors Raghid Zeineddine

Publication date 15 June 2015

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1304.5696, https://projecteuclid.org/euclid.bj/1429624960

zbMATH Keywords

Brownian timefluctuationsfractional Brownian motionpower variation

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22)

Abstract: We study the fluctuations of the power variation of fractional Brownian motion in Brownian time

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Cited in

(6)

• Asymptotic behavior of weighted power variations of fractional Brownian motion in Brownian time
• Power variations for a class of Brown-Resnick processes
• Generalized Cauchy process based on heavy-tailed distribution and grey relational analysis for reliability predicting of distribution systems
• scientific article; zbMATH DE number 2169747 (Why is no real title available?)
• 带跳的分数维Brown 运动幂变差的渐近行为
• Power variation of fractional integral processes with jumps

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