Second order limit laws for occupation times of the fractional Brownian motion

2013/10/14 by Fangjun Xu, Xu, Fangjun
Economics, Econometrics and Finance · Mathematics · #Stochastic processes and financial applications #Financial Risk and Volatility Modeling #Stochastic processes and statistical mechanics

paper · pdf · doi:10.48550/arxiv.1310.3649

Abstract

We prove second order limit laws for (additive) functionals of the d-dimensional fractional Brownian motion with Hurst index H=(1)/(d), using the method of moments, extending the Kallianpur-Robbins law.

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