Central limit theorem for an additive functional of the fractional Brownian motion. II.

DOI10.1214/ECP.V18-2761MaRDI QIDQ743047zbMATH OpenFDO

Authors David Nualart, Fangjun Xu

Publication date 22 September 2014

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1304.6426

zbMATH Keywords

central limit theoremmethod of momentsfractional Brownian motionlocal timeadditive functional

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Functional limit theorems; invariance principles (60F17) Local time and additive functionals (60J55)

Abstract: We prove a central limit theorem for an additive functional of the $d$-dimensional fractional Brownian motion with Hurst index $Hin(frac12+d,frac1d)$, using the method of moments, extending the result by Papanicolaou, Stroock and Varadhan in the case of the standard Brownian motion.

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Cited in

(13)

• Central limit theorem for an additive functional of the fractional Brownian motion
• Limit theorems for one statistic of FBM in the model of real observations
• Approximation of fractional local times: zero energy and derivatives
• A decomposition for additive functionals of Lévy processes
• Limit theorems for functionals of two independent Gaussian processes
• Second-order limit laws for occupation times of fractional Brownian motion
• Limit theorems related to the integral functionals of one dimensional fractional Brownian motion
• A first-order limit law for functionals of two independent fractional Brownian motions in the critical case
• A limit law for functionals of multiple independent fractional Brownian motions
• Central limit theorem for functionals of two independent fractional Brownian motions
• Asymptotic behavior for an additive functional of two independent self-similar Gaussian processes
• Limit theorems for additive functionals of the fractional Brownian motion
• Homogenization driven by a fractional Brownian motion: the shear layer case

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