Asymptotic behavior of weighted quadratic variations of fractional Brownian motion: the critical case H=1/4

DOI10.1214/09-AOP473zbMATH Open1200.60023arXiv0802.3307MaRDI QIDQ971938FDOQ971938

Authors: Ivan Nourdin, Anthony Réveillac 

Publication date: 17 May 2010

Published in: The Annals of Probability (Search for Journal in Brave)

Abstract: We derive the asymptotic behavior of weighted quadratic variations of fractional Brownian motion $B$ with Hurst index $H=1/4$. 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 $B$.

Full work available at URL: https://arxiv.org/abs/0802.3307

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zbMATH Keywords

Malliavin calculusweak convergencefractional Brownian motionchange of variable formulaquartic processweighted quadratic variations

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05)

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Cited In (36)

• Malliavin calculus and self normalized sums
• Title not available (Why is that?)
• Asymptotic expansion of the quadratic variation of a mixed fractional Brownian motion
• Remarks on asymptotic behavior of weighted quadratic variation of subfractional Brownian motion
• Quantitative stable limit theorems on the Wiener space
• Central limit theorem for a Stratonovich integral with Malliavin calculus
• Stein's method for invariant measures of diffusions via Malliavin calculus
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• Central limit theorems and parameter estimation associated with a weighted-fractional Brownian motion
• Power variations and limit theorems for stochastic processes controlled by fractional Brownian motions
• The calculus of differentials for the weak Stratonovich integral
• Convergence of trapezoid rule to rough integrals
• Weak symmetric integrals with respect to the fractional Brownian motion
• Power variations for fractional type infinitely divisible random fields
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• Asymptotic behavior of weighted quadratic variation of bi-fractional Brownian motion
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