Limits for weighted p-variations and likewise functionals of fractional diffusions with drift

DOI10.1016/J.SPA.2006.05.016MaRDI QIDQ869098zbMATHOpenAlexFDO

Authors Carenne Ludeña, José R. León

Publication date 26 February 2007

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2006.05.016

zbMATH Keywords

fractional Brownian motion

Mathematics Subject Classification ID

Gaussian processes (60G15) Brownian motion (60J65) Functional limit theorems; invariance principles (60F17) Local time and additive functionals (60J55) Self-similar stochastic processes (60G18)

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• On estimating the diffusion coefficient from discrete observations
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• Stochastic volatility and fractional Brownian motion

Cited in

(14)

• Power variation for Gaussian processes with stationary increments
• Asymptotic behavior of weighted quadratic and cubic variations of fractional Brownian motion
• Quantitative Breuer-Major theorems
• Stable Convergence of Certain Functionals of Diffusions Driven by fBm
• Order estimate of functionals related to fractional Brownian motion
• Variations and estimators for self-similarity parameters via Malliavin calculus
• First-order Euler scheme for SDEs driven by fractional Brownian motions: the rough case
• Discrete rough paths and limit theorems
• Variations and estimators for self-similarity parameter of sub-fractional Brownian motion via Malliavin calculus
• Asymptotic expansion of the quadratic variation of fractional stochastic differential equation
• Difference based estimators and infill statistics
• 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
• Milstein's type schemes for fractional SDEs

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