On Simpson's rule and fractional Brownian motion with \(H = 1/10\)

DOI10.1007/s10959-014-0552-1zbMath1334.60098arXiv1304.7172OpenAlexW3123812101MaRDI QIDQ904713

Daniel Harnett, David Nualart

Publication date: 13 January 2016

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1304.7172

zbMATH Keywords

weak convergencefractional Brownian motionMalliavin calculusstochastic integrationSkorokhod integralItō formulaSimpson's rule

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (4)

Weak symmetric integrals with respect to the fractional Brownian motion ⋮ Sample paths of the solution to the fractional-colored stochastic heat equation ⋮ Discrete rough paths and limit theorems ⋮ Symmetric stochastic integrals with respect to a class of self-similar Gaussian processes

Cites Work

• Central limit theorem for a Stratonovich integral with Malliavin calculus
• Weak convergence of the Stratonovich integral with respect to a class of Gaussian processes
• The weak stratonovich integral with respect to fractional Brownian motion with Hurst parameter 1/6
• Central limit theorems for multiple Skorokhod integrals
• Asymptotic behavior of weighted quadratic variations of fractional Brownian motion: the critical case \(H=1/4\)
• A change of variable formula with Itô correction term
• Variations of the solution to a stochastic heat equation
• Central limit theorems for multiple stochastic integrals and Malliavin calculus
• \(m\)-order integrals and generalized Itô's formula; the case of a fractional Brownian motion with any Hurst index
• Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter \(H \in (0,\frac {1}{2})\)
• The Malliavin Calculus and Related Topics
• Simpson's Rule Is Exact for Quintics

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