Asymptotic behavior of weighted quadratic variations of fractional Brownian motion: the critical case \(H=1/4\)
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Publication:971938
DOI10.1214/09-AOP473zbMath1200.60023arXiv0802.3307MaRDI QIDQ971938
Ivan Nourdin, Anthony Réveillac
Publication date: 17 May 2010
Published in: The Annals of Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0802.3307
weak convergence; fractional Brownian motion; Malliavin calculus; change of variable formula; quartic process; weighted quadratic variations
60F05: Central limit and other weak theorems
60G22: Fractional processes, including fractional Brownian motion
60H05: Stochastic integrals
60H07: Stochastic calculus of variations and the Malliavin calculus
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