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2013 Central limit theorem for an additive functional of the fractional Brownian motion II
David Nualart, Fangjun Xu
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Electron. Commun. Probab. 18: 1-10 (2013). DOI: 10.1214/ECP.v18-2761

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.

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David Nualart. Fangjun Xu. "Central limit theorem for an additive functional of the fractional Brownian motion II." Electron. Commun. Probab. 18 1 - 10, 2013. https://doi.org/10.1214/ECP.v18-2761

Information

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

zbMATH: 1329.60041
MathSciNet: MR3101639
Digital Object Identifier: 10.1214/ECP.v18-2761

Subjects:
Primary: 60F05
Secondary: 60G22

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