The weak stratonovich integral with respect to fractional Brownian motion with Hurst parameter 1/6
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Publication:638368
DOI10.1214/EJP.v15-843zbMath1225.60089arXiv1006.4238MaRDI QIDQ638368
Ivan Nourdin, Jason Swanson, Anthony Réveillac
Publication date: 9 September 2011
Published in: Electronic Journal of Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1006.4238
weak convergence; fractional Brownian motion; Malliavin calculus; stochastic integration; Stratonovich integral
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
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