Joint convergence along different subsequences of the signed cubic variation of fractional Brownian motion. II.

DOI10.1214/ECP.V18-2840zbMATH Open1310.60036arXiv1303.0892MaRDI QIDQ743055FDOQ743055

Authors: David Nualart, Jason Swanson 

Publication date: 22 September 2014

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

Abstract: The purpose of this paper is to provide a complete description the convergence in distribution of two subsequences of the signed cubic variation of the fractional Brownian motion with Hurst parameter $H=1/6$.

Full work available at URL: https://arxiv.org/abs/1303.0892

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zbMATH Keywords

fractional Brownian motionconvergence in lawcubic variation

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Functional limit theorems; invariance principles (60F17)

Cited In (3)

• Title not available (Why is that?)
• Asymptotic behavior of weighted cubic variation of sub-fractional Brownian motion
• Joint convergence along different subsequences of the signed cubic variation of fractional Brownian motion

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