Title
Joint Convergence Along Different Subsequences Of The Signed Cubic Variation Of Fractional Brownian Motion
Keywords
Convergence in law; Cubic variation; Fractional Brownian motion
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 H = 1/6. 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. © 2013 Springer-Verlag Berlin Heidelberg.
Publication Date
1-1-2014
Publication Title
Probability Theory and Related Fields
Volume
159
Issue
1-2
Number of Pages
237-272
Document Type
Article
Personal Identifier
scopus
DOI Link
https://doi.org/10.1007/s00440-013-0511-2
Copyright Status
Unknown
Socpus ID
84900510225 (Scopus)
Source API URL
https://api.elsevier.com/content/abstract/scopus_id/84900510225
STARS Citation
Burdzy, Krzysztof; Nualart, David; and Swanson, Jason, "Joint Convergence Along Different Subsequences Of The Signed Cubic Variation Of Fractional Brownian Motion" (2014). Scopus Export 2010-2014. 9724.
https://stars.library.ucf.edu/scopus2010/9724