Continuity in the Hurst parameter of the law of the symmetric integral with respect to the fractional Brownian motion

We prove the convergence in law, in the space of continuous functions , of the Russo-Vallois symmetric integral of a non-adapted process with respect to the fractional Brownian motion with Hurst parameter H>1/2 to the Russo-Vallois symmetric integral with respect to the fractional Brownian motion with parameter H0, when H tends to H0[set membership, variant][1/2,1).

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Year of publication:	2010
Authors:	Jolis, Maria ; Viles, Noèlia
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 120.2010, 9, p. 1651-1679
Publisher:	Elsevier
Keywords:	Convergence in law Fractional Brownian motion Russo-Vallois symmetric integral

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

Persistent link: https://www.econbiz.de/10008875442