Central limit theorem for functionals of two independent fractional Brownian motions

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

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Year of publication:	2014
Authors:	Nualart, David ; Xu, Fangjun
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 124.2014, 11, p. 3782-3806
Publisher:	Elsevier
Subject:	Fractional Brownian motion \| Intersection local time \| Local time \| Method of moments

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010907048