Continuity in the Hurst parameter of the law of the Wiener integral with respect to the fractional Brownian motion
Let \({\mathcal C}([0,T])\) be the space of continuous functions and let us consider the laws in \({\mathcal C}([0,T])\) of the family of processes \(\{B^H\), \(H\in(0,1)\}\), where each \(B^H=\{B_t^H\), \(t\in [0,T]\}\) is a fractional Brownian motion with Hurst parameter \(H\). In this paper the authors prove the convergence in law in the space \({\mathcal C}([0,T])\) of the Wiener integral of a deterministic function \(f\) with respect to the fractional Brownian motion with a Hurst parameter \(H\) to the Wiener integral of \(f\) with respect to the fractional Brownian motion with a parameter \(H_0\), when \(H\) tends to \(H_0\in(0,1/2]\).
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