Central limit theorem for an iterated integral with respect to fBm withH>1/2

DOI10.1080/17442508.2013.774403zbMath1310.60065arXiv1208.1908OpenAlexW3097978891MaRDI QIDQ2875262

Daniel Harnett, David Nualart

Publication date: 14 August 2014

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1208.1908

zbMATH Keywords

fractional Brownian motionMalliavin calculuscentral limit theoremiterated stochastic integral

Mathematics Subject Classification ID

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)

Related Items (1)

Pathwise large deviations for white noise chaos expansions

Cites Work

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• Central limit theorems for sequences of multiple stochastic integrals
• Normal Approximations with Malliavin Calculus
• The Malliavin Calculus and Related Topics
• Stochastic integration with respect to the fractional Brownian motion
• Stochastic Calculus for Fractional Brownian Motion I. Theory

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