Stable Convergence of Certain Functionals of Diffusions Driven by fBm

DOI10.1081/SAP-120028591MaRDI QIDQ3158138zbMATH OpenOpenAlexFDO

Authors Carenne Ludeña, José R. León

Publication date 20 January 2005

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1081/sap-120028591

zbMATH Keywords

diffusion equationfractional Brownian motionfunctionalsstable convergence

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Brownian motion (60J65)

Recommendations

• Estimating the diffusion coefficient for diffusions driven by fBm
• Convergence of certain functionals of integral fractional processes
• Limits for weighted \(p\)-variations and likewise functionals of fractional diffusions with drift
• A stability result for stochastic differential equations driven by fractional Brownian motions
• Boundedness and convergence analysis of stochastic differential equations with Hurst Brownian motion

Cites work

• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• Central limit theorems for non-linear functionals of Gaussian fields
• Crossings and occupation measures for a class of semimartingales
• Differential equations driven by rough signals. I: An extension of an inequality of L. C. Young
• Gaussian Processes with Stationary Increments: Local Times and Sample Function Properties
• Integration par parties dans l'espace de Wiener et approximation du temps local. (Integration by parts in the Wiener space and approximation of local time)
• Law of the iterated logarithm for sums of non-linear functions of Gaussian variables that exhibit a long range dependence
• Non‐parametric Kernel Estimation of the Coefficient of a Diffusion
• Stochastic analysis of fractional brownian motions

Cited in

(9)

• Convergence of certain functionals of integral fractional processes
• Volatility estimation of general Gaussian Ornstein-Uhlenbeck process
• Difference based estimators and infill statistics
• Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion
• Volatility estimation in fractional Ornstein-Uhlenbeck models
• Volatility estimation of Gaussian Ornstein-Uhlenbeck processes of the second kind
• Stable convergence in law in approximation of stochastic integrals with respect to diffusions
• Power variation of some integral fractional processes
• Limits for weighted \(p\)-variations and likewise functionals of fractional diffusions with drift

This page was built for publication: Stable Convergence of Certain Functionals of Diffusions Driven by fBm

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3158138)