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

2013/04/23 by David Nualart, Nualart, David, Fangjun Xu +1
Mathematics · #FOS: Mathematics #Probability (math.PR) #math.PR

paper · pdf · doi:10.48550/arxiv.1304.6426

arxiv created 2013/04/23 · arxiv updated 2013/04/25

Abstract

We prove a central limit theorem for an additive functional of the d-dimensional fractional Brownian motion with Hurst index H∈((1)/(2+d),(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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