Asymptotic Behavior of Weighted Power Variations of Fractional Brownian Motion in Brownian Time

被引：1

作者：

Zeineddine, Raghid ^{[1
]}

机构：

[1] Tech Univ Dortmund, Fak Math, Res Training Grp 2131, Dortmund, Germany

来源：

JOURNAL OF THEORETICAL PROBABILITY | 2018年 / 31卷 / 03期

关键词：

Weighted power variations; Limit theorem; Malliavin calculus; Fractional Brownian motion; Fractional Brownian motion in Brownian time; FORMULA;

D O I：

10.1007/s10959-017-0749-1

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We study the asymptotic behavior of weighted power variations of fractional Brownian motion in Brownian time , where X is a fractional Brownian motion and Y is an independent Brownian motion.

引用

页码：1539 / 1589

页数：51

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