Central limit theorem for functionals of two independent fractional Brownian motions

2012/11/08 by David Nualart, Nualart, David, Fangjun Xu +1
Economics, Econometrics and Finance · Mathematics · #FOS: Mathematics #Financial Risk and Volatility Modeling #Probability (math.PR) #Stochastic processes and financial applications #Stochastic processes and statistical mechanics

paper · pdf · doi:10.48550/arxiv.1211.1967

openalex publication_date 2012/11/08 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

We prove a central limit theorem for functionals of two independent d-dimensional fractional Brownian motions with the same Hurst index H in ((2)/(d+1),(2)/(d)) using the method of moments.

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