CENTRAL LIMIT THEOREM FOR AN ADDITIVE FUNCTIONAL OF THE FRACTIONAL BROWNIAN MOTION

被引：14

作者：

Hu, Yaozhong ^{[1
]}

Nualart, David ^{[1
]}

Xu, Fangjun ^{[2
]}

机构：

[1] Univ Kansas, Dept Math, Lawrence, KS 66045 USA

[2] E China Normal Univ, Sch Finance & Stat, Shanghai 200241, Peoples R China

来源：

ANNALS OF PROBABILITY | 2014年 / 42卷 / 01期

基金：

美国国家科学基金会;

关键词：

Fractional Brownian motion; central limit theorem; local time; method of moments; LOCAL-TIMES;

D O I：

10.1214/12-AOP825

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 prove a central limit theorem for an additive functional of the d-dimensional fractional Brownian motion with Hurst index H is an element of (1/1+d, 1/d), using the method of moments, extending the result by Papanicolaou, Stroock and Varadhan in the case of the standard Brownian motion.

引用

页码：168 / 203

页数：36

共 15 条

[1]

[Anonymous], 1970, PRINCETON MATH SER

[2] LOCAL NONDETERMINISM AND LOCAL TIMES OF GAUSSIAN PROCESSES [J].