A first-order limit law for functionals of two independent fractional Brownian motions in the critical case
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Publication:325908
DOI10.1007/s10959-015-0604-1zbMath1348.60051OpenAlexW2073872266MaRDI QIDQ325908
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
Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Functional limit theorems; invariance principles (60F17)
Related Items (3)
A limit law for functionals of multiple independent fractional Brownian motions ⋮ Limit theorems for functionals of two independent Gaussian processes ⋮ Asymptotic behavior for an additive functional of two independent self-similar Gaussian processes
Cites Work
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- Central limit theorem for functionals of two independent fractional Brownian motions
- Regularity of intersection local times of fractional Brownian motions
- Central limit theorem for an additive functional of the fractional Brownian motion. II.
- 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
- Second-order limit laws for occupation times of fractional Brownian motion
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