Electronic Journal of Probability

Approximation at First and Second Order of $m$-order Integrals of the Fractional Brownian Motion and of Certain Semimartingales

Mihai Gradinaru and Ivan Nourdin

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Let $X$ be the fractional Brownian motion of any Hurst index $H\in (0,1)$ (resp. a semimartingale) and set $\alpha=H$ (resp. $\alpha=\frac{1}{2}$). If $Y$ is a continuous process and if $m$ is a positive integer, we study the existence of the limit, as $\varepsilon\rightarrow 0$, of the approximations $$ I_{\varepsilon}(Y,X) :=\left\{\int_{0}^{t}Y_{s}\left(\frac{X_{s+\varepsilon}-X_{s}}{\varepsilon^{\alpha}}\right)^{m}ds,\,t\geq 0\right\} $$ of $m$-order integral of $Y$ with respect to $X$. For these two choices of $X$, we prove that the limits are almost sure, uniformly on each compact interval, and are in terms of the $m$-th moment of the Gaussian standard random variable. In particular, if $m$ is an odd integer, the limit equals to zero. In this case, the convergence in distribution, as $\varepsilon\rightarrow 0$, of $\varepsilon^{-\frac{1}{2}} I_{\varepsilon}(1,X)$ is studied. We prove that the limit is a Brownian motion when $X$ is the fractional Brownian motion of index $H\in (0,\frac{1}{2}]$, and it is in term of a two dimensional standard Brownian motion when $X$ is a semimartingale.

Article information

Electron. J. Probab., Volume 8 (2003), paper no. 18, 26 p.

First available in Project Euclid: 23 May 2016

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Zentralblatt MATH identifier

Primary: 60H05: Stochastic integrals
Secondary: 60F15: Strong theorems 60F05: Central limit and other weak theorems 60J65: Brownian motion [See also 58J65] 60G15: Gaussian processes


Gradinaru, Mihai; Nourdin, Ivan. Approximation at First and Second Order of $m$-order Integrals of the Fractional Brownian Motion and of Certain Semimartingales. Electron. J. Probab. 8 (2003), paper no. 18, 26 p. doi:10.1214/EJP.v8-166. https://projecteuclid.org/euclid.ejp/1464037591

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