Central limit theorem for functionals of two independent fractional Brownian motions

DOI10.1016/j.spa.2014.07.002zbMath1296.60059arXiv1211.1967MaRDI QIDQ404596

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

fractional Brownian motion; local time; intersection local time; method of moments

Mathematics Subject Classification ID

60G15: Gaussian processes

60F05: Central limit and other weak theorems

60G22: Fractional processes, including fractional Brownian motion

Related Items

A first-order limit law for functionals of two independent fractional Brownian motions in the critical case, Limit theorems for functionals of two independent Gaussian processes, A limit law for functionals of multiple independent fractional Brownian motions, Asymptotic behavior for an additive functional of two independent self-similar Gaussian processes

Cites Work

• Unnamed Item
• Unnamed Item
• Regularity of intersection local times of fractional Brownian motions
• Central limit theorem for an additive functional of the fractional Brownian motion. II.
• Sur la saucisse de Wiener et les points multiples du mouvement Brownien. (On the Wiener sausage and the multiple points of Brownian motion)
• Central limit theorem for an additive functional of the fractional Brownian motion
• Intersection local time for two independent fractional Brownian motions