Asymptotic Behavior of Weighted Power Variations of Fractional Brownian Motion in Brownian Time
Author:
Funder
RTG
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
Link
http://link.springer.com/article/10.1007/s10959-017-0749-1/fulltext.html
Reference10 articles.
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2. Khoshnevisan, D., Lewis, T.M.: Stochastic calculus for Brownian motion on a Brownian fracture. Ann. Appl. Probab. 9(3), 629–667 (1999)
3. Khoshnevisan, D., Lewis, T.M.: Iterated Brownian Motion and its Intrinsic skeletal structure. In: Dalang R.C., Dozzi M., Russo F. (eds) Seminar on Stochastic Analysis, Random Fields and Applications. Progress in Probability, vol 45. Birkhäuser, Basel (1999)
4. Nourdin, I., Peccati, G.: Weighted power variations of iterated Brownian motion. Electron. J. Probab. 13(43), 1229–1256 (2008)
5. Nourdin, I., Nualart, D., Tudor, C.: Central and non-central limit theorems for weighted power variations of the fractional Brownian motion. Ann. Inst. Henri Poincaré Probab. Stat. 46(4), 1055–1079 (2009)
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1. Asymptotic behavior of weighted quadratic variation of tempered fractional Brownian motion;Statistics & Probability Letters;2024-04
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