A first-order limit law for functionals of two independent fractional Brownian motions in the critical case

DOI10.1007/S10959-015-0604-1zbMATH Open1348.60051OpenAlexW2073872266MaRDI QIDQ325908FDOQ325908

Fangjun Xu, Junna Bi

Publication date: 11 October 2016

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10959-015-0604-1

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zbMATH Keywords

method of momentsfractional Brownian motionlimit theoremfunctionalsshort range dependence

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Functional limit theorems; invariance principles (60F17)

Cites Work

• Title not available (Why is that?)
• Propriétés d'intersection des marches aléatoires. II: Étude des cas critiques. (Properties of intersection of random walks. II: Study of the critical case)
• Central limit theorem for an additive functional of the fractional Brownian motion
• Intersection local time for two independent fractional Brownian motions
• Title not available (Why is that?)
• Central limit theorem for functionals of two independent fractional Brownian motions
• Title not available (Why is that?)
• Second-order limit laws for occupation times of fractional Brownian motion
• Regularity of intersection local times of fractional Brownian motions
• Central limit theorem for an additive functional of the fractional Brownian motion. II.

Cited In (4)

• Limit theorems for functionals of two independent Gaussian processes
• The fractal nature of the functional law of logarithm of fractional Brownian motions
• A limit law for functionals of multiple independent fractional Brownian motions
• Asymptotic behavior for an additive functional of two independent self-similar Gaussian processes

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