Stable Convergence of Certain Functionals of Diffusions Driven by fBm
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Publication:3158138
DOI10.1081/SAP-120028591zbMath1063.60045OpenAlexW2037484186MaRDI QIDQ3158138
Carenne Ludeña, José Rafael León
Publication date: 20 January 2005
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1081/sap-120028591
Related Items (8)
Power variation of some integral fractional processes ⋮ Limits for weighted \(p\)-variations and likewise functionals of fractional diffusions with drift ⋮ Volatility estimation in fractional Ornstein-Uhlenbeck models ⋮ Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion ⋮ Volatility estimation of general Gaussian Ornstein-Uhlenbeck process ⋮ Volatility estimation of Gaussian Ornstein-Uhlenbeck processes of the second kind ⋮ Convergence of certain functionals of integral fractional processes ⋮ Difference based estimators and infill statistics
Cites Work
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- Central limit theorems for non-linear functionals of Gaussian fields
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- Differential equations driven by rough signals. I: An extension of an inequality of L. C. Young
- Law of the iterated logarithm for sums of non-linear functions of Gaussian variables that exhibit a long range dependence
- Stochastic analysis of fractional brownian motions
- Non‐parametric Kernel Estimation of the Coefficient of a Diffusion
- Gaussian Processes with Stationary Increments: Local Times and Sample Function Properties
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