Asymptotic behavior of weighted quadratic and cubic variations of fractional brownian motion

Annals of Probability

Volumn 36, Issue 6, 2008, Pages 2159-2175

  Nourdin, Ivan ^a  

^a SORBONNE UNIVERSITÉ   (France)

Author keywords

Breuer and major theorem; Exact rate of convergence; Fractional Brownian motion; Malliavin calculus; Weighted cubic variation; Weighted quadratic variation

Indexed keywords

EID: 48849108688     PISSN: 00911798     EISSN: None     Source Type: Journal    
DOI: 10.1214/07-AOP385     Document Type: Article

References (16)

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