Central limit theorem for an additive functional of the fractional Brownian motion II

David Nualart (University of Kansas)
Fangjun Xu (East China Normal University)

Abstract


We prove a central limit theorem for an additivefunctional of the $d$-dimensional fractional Brownian motionwith Hurst index $H\in(\frac{1}{d+2},\frac{1}{d})$, using the method of moments,extending the result by Papanicolaou, Stroock and Varadhan in the case of the standard Brownian motion.

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Pages: 1-10

Publication Date: September 1, 2013

DOI: 10.1214/ECP.v18-2761

References

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  • Hu, Y.; Nualart, D. and Xu, F.: Central limit theorem for an additive functional of the fractional Brownian motion. Ann. Probab., accepted.
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