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

DOI10.1214/ECP.V18-2840MaRDI QIDQ743055zbMATH OpenFDO

Authors David Nualart, Jason Swanson

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/1303.0892

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)

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 $H=1/6$.

Recommendations

• Joint convergence along different subsequences of the signed cubic variation of fractional Brownian motion
• Asymptotic behavior of weighted cubic variation of sub-fractional Brownian motion
• Asymptotic behavior of weighted quadratic and cubic variations of fractional Brownian motion
• Convergence of certain functionals of integral fractional processes
• Convergence in fractional models and applications

Cited in

(3)

• scientific article; zbMATH DE number 6611612 (Why is no real title available?)
• 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

This page was built for publication: Joint convergence along different subsequences of the signed cubic variation of fractional Brownian motion. II.

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q743055)