Central limit theorem for weighted local time of \(L^2\) modulus of fractional Brownian motion

DOI10.1016/j.jkss.2012.01.008zbMath1296.60055MaRDI QIDQ457621

Litan Yan, Chao Chen, Cheng Ju

Publication date: 29 September 2014

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2012.01.008

zbMATH Keywords

Malliavin calculus; Tanaka formula; fractional Clark-Ocone formula; Knight's theorem

Mathematics Subject Classification ID

60F05: Central limit and other weak theorems

60G22: Fractional processes, including fractional Brownian motion

60H05: Stochastic integrals

60H07: Stochastic calculus of variations and the Malliavin calculus

Cites Work

• Unnamed Item
• Itô's formula with respect to fractional Brownian motion and its application
• Hölder properties of local times for fractional Brownian motions
• Stochastic integral representation of the \(L^{2}\) modulus of Brownian local time and a central limit theorem
• Tanaka formula for the fractional Brownian motion.
• A CLT for the \(L^{2}\) modulus of continuity of Brownian local time
• The Malliavin Calculus and Related Topics
• On the Clark-Ocone Theorem for Fractional Brownian Motions with Hurst Parameter bigger than a Half
• Weighted Local Time for Fractional Brownian Motion and Applications to Finance
• Stochastic integration with respect to the fractional Brownian motion
• Stochastic Calculus for Fractional Brownian Motion I. Theory
• Stochastic Calculus for Fractional Brownian Motion and Applications