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 convergencefractional Brownian motionMalliavin calculuschange of variable formulaquartic processweighted quadratic variations
Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)
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