Central and non-central limit theorems for weighted power variations of fractional Brownian motion

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DOI10.1214/09-AIHP342zbMath1221.60031arXiv0710.5639OpenAlexW2131047996MaRDI QIDQ629788

David Nualart, Ciprian A. Tudor, Ivan Nourdin

Publication date: 10 March 2011

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0710.5639

zbMATH Keywords

fractional Brownian motion central limit theorem non-central limit theorem Hermite process

Mathematics Subject Classification ID

Gaussian processes (60G15) Central limit and other weak theorems (60F05) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

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