Central limit theorem for functionals of two independent fractional Brownian motions

DOI10.1016/J.SPA.2014.07.002MaRDI QIDQ404596zbMATH OpenOpenAlexFDO

Authors David Nualart, Fangjun Xu

Publication date 4 September 2014

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1211.1967

zbMATH Keywords

method of momentsfractional Brownian motionlocal timeintersection local time

Mathematics Subject Classification ID

Gaussian processes (60G15) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22)

Abstract: We prove a central limit theorem for functionals of two independent $d$-dimensional fractional Brownian motions with the same Hurst index $H$ in $(frac2d+1,frac2d)$ using the method of moments.

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Cites work

• scientific article; zbMATH DE number 4209252 (Why is no real title available?)
• scientific article; zbMATH DE number 4066081 (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.
• Intersection local time for two independent fractional Brownian motions
• Regularity of intersection local times of fractional Brownian motions
• Sur la saucisse de Wiener et les points multiples du mouvement Brownien. (On the Wiener sausage and the multiple points of Brownian motion)

Cited in

(8)

• Central limit theorem for an additive functional of the fractional Brownian motion
• Limit theorems for one statistic of FBM in the model of real observations
• Limit theorems for functionals of two independent Gaussian processes
• A central limit theorem for the generalized quadratic variation of the step fractional Brownian motion
• A first-order limit law for functionals of two independent fractional Brownian motions in the critical case
• 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. II.

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