Central limit theorem for functionals of two independent fractional Brownian motions

DOI10.1016/J.SPA.2014.07.002zbMATH Open1296.60059arXiv1211.1967OpenAlexW1970450752MaRDI QIDQ404596FDOQ404596

Authors: David Nualart, Fangjun Xu 

Publication date: 4 September 2014

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

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.

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

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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)

Cites Work

• 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
• Title not available (Why is that?)
• Regularity of intersection local times of fractional Brownian motions
• Central limit theorem for an additive functional of the fractional Brownian motion. II.
• Title not available (Why is that?)

Cited In (5)

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

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