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

DOI10.1007/S10959-015-0604-1MaRDI QIDQ325908zbMATHOpenAlexFDO

Authors 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

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)

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Cites work

• scientific article; zbMATH DE number 4209252 (Why is no real title available?)
• scientific article; zbMATH DE number 1181255 (Why is no real title available?)
• scientific article; zbMATH DE number 1494219 (Why is no real title available?)
• Central limit theorem for an additive functional of the fractional Brownian motion
• Central limit theorem for an additive functional of the fractional Brownian motion. II.
• Central limit theorem for functionals of two independent fractional Brownian motions
• Intersection local time for two independent fractional Brownian motions
• Propriétés d'intersection des marches aléatoires. II: Étude des cas critiques. (Properties of intersection of random walks. II: Study of the critical case)
• Regularity of intersection local times of fractional Brownian motions
• Second-order limit laws for occupation times of fractional Brownian motion

Cited in

(7)

• Kolmogorov distance between the exponential functionals of fractional Brownian motion
• Second-order limit laws for occupation times of fractional Brownian motion
• 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
• Central limit theorem for an additive functional of the fractional Brownian motion
• Limit theorems for functionals of two independent Gaussian processes

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