Fluctuations of the power variation of fractional Brownian motion in Brownian time

被引：3
作者：
Zeineddine, Raghid [1 ]
机构：
[1] Univ Lorraine, Inst Elie Cartan Lorraine, F-54506 Vandoeuvre Les Nancy, France
来源：
BERNOULLI | 2015年 / 21卷 / 02期
关键词：
fractional Brownian motion; fractional Brownian motion in Brownian time; Hermite polynomials; iterated Brownian motion; limit theorem; MULTIPLE STOCHASTIC INTEGRALS; CENTRAL LIMIT-THEOREMS;
D O I：
10.3150/13-BEJ586
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 fluctuations of the power variation of fractional Brownian motion in Brownian time.
引用
收藏
页码：760 / 780
页数：21
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