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

DOI10.1080/17442508.2013.774403zbMATH Open1310.60065arXiv1208.1908OpenAlexW3097978891MaRDI QIDQ2875262FDOQ2875262

Authors: Daniel Harnett, David Nualart 

Publication date: 14 August 2014

Published in: Stochastics (Search for Journal in Brave)

Abstract: We construct an iterated stochastic integral with fractional Brownian motion with H > 1/2. The first integrand is a deterministic function, and each successive integral is with respect to an independent fBm. We show that this symmetric stochastic integral is equal to the Malliavin divergence integral. By a version of the Fourth Moment theorem of Nualart and Peccati, we show that a family of such integrals converges in distribution to a scaled Brownian motion. An application is an approximation to the windings for a planar fBm, previously studied by Baudoin and Nualart.

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

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zbMATH Keywords

Malliavin calculuscentral limit theoremfractional Brownian motioniterated stochastic integral

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05)

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• Stochastic Calculus for Fractional Brownian Motion I. Theory
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Cited In (1)

• Pathwise large deviations for white noise chaos expansions

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