Asymptotic behavior of weighted power variations of fractional Brownian\n motion in Brownian time

2016/04/11 by Raghid Zeineddine, Zeineddine, Raghid
Decision Sciences · Economics, Econometrics and Finance · Mathematics · #60F05 #60G15 #60G22 #60H05 #60H07 #FOS: Mathematics #Probability (math.PR) #Probability and Risk Models #Stochastic processes and financial applications #Stochastic processes and statistical mechanics

paper · pdf · doi:10.48550/arxiv.1604.03157

openalex publication_date 2016/04/11 · openalex created_date 2022/10/04 · openalex updated_date 2026/07/28

Abstract

We study the asymptotic behavior of weighted power variations of fractional\nBrownian motion in Brownian time Z_t:= X_Yt, t >= 0, where X is a fractional\nBrownian motion and Y is an independent Brownian motion.\n

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