Cross-variation of Young integral with respect to long-memory fractional Brownian motions

MaRDI QIDQ5741256zbMATH OpenFDO

Authors Ivan Nourdin, Rola Zintout

Publication date 22 July 2016

Full work available at URL https://arxiv.org/abs/1311.2895, http://www.math.uni.wroc.pl/%7epms/publicationsArticle.php?ppB=35&nr=36.1&nrA=3&ppE=46

zbMATH Keywords

Breuer-Major theoremfractional Brownian motionRosenblatt processstochastic differential equationsTaqqu's theoremYoung integrals

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17) Gaussian processes (60G15) Self-similar stochastic processes (60G18) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: We study the asymptotic behaviour of the cross-variation of two-dimensional processes having the form of a Young integral with respect to a fractional Brownian motion of index $Hextgreater1/2$. When $H$ is smaller than or equal to $3/4$, we show asymptotic mixed normality. When $H$ is strictly bigger than $3/4$, we obtain a limit that is expressed in terms of the difference of two independent Rosenblatt processes.

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Cited in

(3)

• Forecasting of time data with using fractional Brownian motion
• Asymptotics of the cross-variation of Young integrals with respect to a general self-similar Gaussian process
• On the cross-variation of a class of stochastic processes

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