Continuity in the Hurst parameter of the law of the Wiener integral with respect to the fractional Brownian motion

DOI10.1016/J.SPL.2009.12.011zbMATH Open1206.60042OpenAlexW2070058965MaRDI QIDQ962012FDOQ962012

Noèlia Viles, Maria Jolis

Publication date: 1 April 2010

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2009.12.011

zbMATH Keywords

convergence in lawWiener integralFractional Brownian motion

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Multiple fractional integral with Hurst parameter less than \(\frac {1}{2}\)
• Stochastic calculus with respect to Gaussian processes
• Stochastic analysis of the fractional Brownian motion
• Are classes of deterministic integrands for fractional Brownian motion on an interval complete?
• Continuity in law with respect to the Hurst parameter of the local time of the fractional Brownian motion
• Continuity with respect to the Hurst parameter of the laws of the multiple fractional integrals

Cited In (7)

• SPDEs with linear multiplicative fractional noise: continuity in law with respect to the Hurst index
• Continuity in the Hurst parameter of the law of the symmetric integral with respect to the fractional Brownian motion
• SPDEs with fractional noise in space: continuity in law with respect to the Hurst index
• Estimation of several parameters in discretely-observed stochastic differential equations with additive fractional noise
• Continuity in law for solutions of SPDES with space-time homogeneous Gaussian noise
• Long-time Hurst regularity of fractional stochastic differential equations and their ergodic means
• Continuity with respect to the Hurst parameter of solutions to stochastic evolution equations driven by \(H\)-valued fractional Brownian motion

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