Title

Joint convergence along different subsequences of the signed cubic variation of fractional Brownian motion

Authors

Authors

K. Burdzy; D. Nualart;J. Swanson

Comments

Authors: contact us about adding a copy of your work at STARS@ucf.edu

Abbreviated Journal Title

Probab. Theory Relat. Field

Keywords

Fractional Brownian motion; Cubic variation; Convergence in law; MULTIPLE STOCHASTIC INTEGRALS; CENTRAL LIMIT-THEOREMS; FUNCTIONALS; Statistics & Probability

Abstract

The purpose of this paper is to study the convergence in distribution of two subsequences of the signed cubic variation of the fractional Brownian motion with Hurst parameter . We prove that, under some conditions on both subsequences, the limit is a two-dimensional Brownian motion whose components may be correlated and we find explicit formulae for its covariance function.

Journal Title

Probability Theory and Related Fields

Volume

159

Issue/Number

1-2

Publication Date

1-1-2014

Document Type

Article

DOI Link

http://dx.doi.org/10.1007/s00440-013-0511-2

Language

English

First Page

237

Last Page

272

WOS Identifier

WOS:000335900500007

ISSN

0178-8051

Recommended Citation

"Joint convergence along different subsequences of the signed cubic variation of fractional Brownian motion" (2014). Faculty Bibliography 2010s. 5114.
https://stars.library.ucf.edu/facultybib2010/5114