Asymptotic behavior of weighted quadratic variations of fractional Brownian motion: the critical case H=1/4
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Asymptotic behavior of weighted quadratic variations of fractional Brownian motion: the critical case \(H=1/4\)
Asymptotic behavior of weighted quadratic variations of fractional Brownian motion: the critical case \(H=1/4\)
Abstract: We derive the asymptotic behavior of weighted quadratic variations of fractional Brownian motion with Hurst index . This completes the only missing case in a very recent work by I. Nourdin, D. Nualart and C. A. Tudor. Moreover, as an application, we solve a recent conjecture of K. Burdzy and J. Swanson on the asymptotic behavior of the Riemann sums with alternating signs associated to .
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(36)- Central limit theorem for an additive functional of the fractional Brownian motion
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