Central limit theorem for functionals of two independent fractional Brownian motions

DOI10.1016/j.spa.2014.07.002zbMath1296.60059arXiv1211.1967OpenAlexW1970450752MaRDI 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 motionlocal timeintersection local timemethod of moments

Mathematics Subject Classification ID

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

Related Items (4)

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 ⋮ Limit theorems for functionals of two independent Gaussian processes ⋮ Asymptotic behavior for an additive functional of two independent self-similar Gaussian processes

Cites Work

• 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
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