Electronic Communications in Probability

Central limit theorem for an additive functional of the fractional Brownian motion II

Abstract

We prove a central limit theorem for an additivefunctional of the $d$-dimensional fractional Brownian motionwith Hurst index $H\in(\frac{1}{d+2},\frac{1}{d})$, using the method of moments,extending the result by Papanicolaou, Stroock and Varadhan in the case of the standard Brownian motion.

Article information

Source
Electron. Commun. Probab., Volume 18 (2013), paper no. 74, 10 pp.

Dates
Accepted: 1 September 2013
First available in Project Euclid: 7 June 2016

https://projecteuclid.org/euclid.ecp/1465315613

Digital Object Identifier
doi:10.1214/ECP.v18-2761

Mathematical Reviews number (MathSciNet)
MR3101639

Zentralblatt MATH identifier
1329.60041

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