Asymptotic behavior of weighted quadratic variation of tempered fractional Brownian motion

DOI10.1016/J.SPL.2023.110020MaRDI QIDQ6540877zbMATH OpenFDO

Authors Jixia Wang, Lu Sun, Yu Miao

Publication date 17 May 2024

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.SPL.2023.110020

zbMATH Keywords

Malliavin calculustempered fractional Brownian motionweighted quadratic variation

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

Recommendations

• Asymptotic behavior of weighted quadratic and cubic variations of fractional Brownian motion
• Asymptotic behavior of weighted quadratic variation of bi-fractional Brownian motion
• Remarks on asymptotic behavior of weighted quadratic variation of subfractional Brownian motion
• Asymptotic behavior of weighted quadratic variations of fractional Brownian motion: the critical case \(H=1/4\)
• Asymptotic behavior of weighted cubic variation of sub-fractional Brownian motion

Cites work

• Asymptotic behavior of mixed power variations and statistical estimation in mixed models
• Asymptotic behavior of weighted cubic variation of sub-fractional Brownian motion
• Asymptotic behavior of weighted power variations of fractional Brownian motion in Brownian time
• Asymptotic behavior of weighted quadratic and cubic variations of fractional Brownian motion
• Asymptotic behavior of weighted quadratic variation of bi-fractional Brownian motion
• Asymptotic behavior of weighted quadratic variations of fractional Brownian motion: the critical case \(H=1/4\)
• ASYMPTOTIC INFERENCE FOR NONSTATIONARY FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE MODELS
• Central and non-central limit theorems for weighted power variations of fractional Brownian motion
• Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion
• Inequalities for modified Bessel functions and their integrals
• Localization and ballistic diffusion for the tempered fractional Brownian-Langevin motion
• Milstein's type schemes for fractional SDEs
• On approximating the modified Bessel function of the second kind
• Power variation and stochastic volatility: a review and some new results
• Power variation of some integral fractional processes
• Remarks on asymptotic behavior of weighted quadratic variation of subfractional Brownian motion
• Stochastic calculus for fractional Brownian motion and related processes.
• Stochastic calculus with respect to Gaussian processes
• Stochastic integration for tempered fractional Brownian motion
• Tempered fractional Brownian and stable motions of second kind
• Tempered fractional Brownian motion
• The Malliavin Calculus and Related Topics
• Weighted power variations of iterated Brownian motion

This page was built for publication: Asymptotic behavior of weighted quadratic variation of tempered fractional Brownian motion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6540877)