Fluctuations of the power variation of fractional Brownian motion in Brownian time

2013/04/21 by Zeineddine, Raghid
#FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1304.5696

Abstract

We study the fluctuations of the power variation of fractional Brownian motion in Brownian time

Related

• Asymptotic behavior of weighted power variations of fractional Brownian\n motion in Brownian time
• Symmetric weighted odd-power variations of fractional Brownian motion and applications
• Weighted power variations of iterated Brownian motion
• Typical dynamics and fluctuation analysis of slow-fast systems driven by\n fractional Brownian motion
• Power variations and limit theorems for stochastic processes controlled by fractional Brownian motions