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

DOI10.1016/J.SPL.2009.12.011MaRDI QIDQ962012zbMATH OpenOpenAlexFDO

Authors Maria Jolis, Noèlia Viles

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 lawFractional Brownian motionWiener integral

Mathematics Subject Classification ID

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

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Cites work

• 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
• scientific article; zbMATH DE number 3491650 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Multiple fractional integral with Hurst parameter less than \(\frac {1}{2}\)
• Stochastic analysis of the fractional Brownian motion
• Stochastic calculus with respect to Gaussian processes

Cited in

(16)

• Convergence of certain functionals of integral fractional processes
• Convergence in fractional models and applications
• SPDEs with linear multiplicative fractional noise: continuity in law with respect to the Hurst index
• SPDEs with fractional noise in space: continuity in law with respect to the Hurst index
• Kolmogorov distance between the exponential functionals of fractional Brownian motion
• Convergence in law to the multiple fractional integral.
• 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
• Continuity in law with respect to the Hurst index of some additive functionals of sub-fractional Brownian motion
• Continuity in law for solutions of SPDES with space-time homogeneous Gaussian noise
• Continuity with respect to the Hurst parameter of solutions to stochastic evolution equations driven by H-valued fractional Brownian motion
• Estimation of several parameters in discretely-observed stochastic differential equations with additive fractional noise
• Long-time Hurst regularity of fractional stochastic differential equations and their ergodic means
• Parabolic Anderson model with rough initial condition: continuity in law of the solution
• Continuity of solutions for tempered fractional general diffusion equations driven by TFBM
• Continuity in the Hurst parameter of the law of the symmetric integral with respect to the fractional Brownian motion

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