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

DOI10.1214/ECP.V18-2761zbMATH Open1329.60041arXiv1304.6426MaRDI QIDQ743047FDOQ743047

Authors: David Nualart, Fangjun Xu 

Publication date: 22 September 2014

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

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.

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

Recommendations

• Central limit theorem for an additive functional of the fractional Brownian motion
• Central and non-central limit theorems for weighted power variations of fractional Brownian motion
• Central limit theorem for functionals of two independent fractional Brownian motions
• Second-order limit laws for occupation times of fractional Brownian motion
• A limit law for functionals of multiple independent fractional Brownian motions

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)

Cited In (13)

• 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 limit law for functionals of multiple independent fractional Brownian motions
• A first-order limit law for functionals of two independent fractional Brownian motions in the critical case
• 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
• Central limit theorem for an additive functional of the fractional Brownian motion

This page was built for publication: Central limit theorem for an additive functional of the fractional Brownian motion. II.

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q743047)