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

被引：0

作者：

Raghid Zeineddine

机构：

[1] Technische Universität Dortmund,Research Training Group 2131, Fakultät Mathematik

来源：

Journal of Theoretical Probability | 2018年 / 31卷

关键词：

Weighted power variations; Limit theorem; Malliavin calculus; Fractional Brownian motion; Fractional Brownian motion in Brownian time; 60F05; 60G15; 60G22; 60H05; 60H07;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

We study the asymptotic behavior of weighted power variations of fractional Brownian motion in Brownian time Zt:=XYt,t⩾0\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$Z_t:= X_{Y_t},t \geqslant 0$$\end{document}, where X is a fractional Brownian motion and Y is an independent Brownian motion.

引用

页码：1539 / 1589

页数：50

共 17 条

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