分数布朗运动的对称加权奇次方变分及其应用

Q2 Mathematics

Communications on Stochastic Analysis Pub Date : 2017-11-11 DOI:10.31390/COSA.12.1.04

D. Nualart, Raghid Zeineddine

引用次数: 1

摘要

我们证明了Hurst参数为H=0的分数布朗运动的对称加权奇次方变的一个非中心极限定理，其中X是分数布朗运动，Y是独立的布朗运动。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Symmetric Weighted Odd-Power Variations of Fractional Brownian Motion and Applications

We prove a non-central limit theorem for the symmetric weighted odd-power variations of the fractional Brownian motion with Hurst parameter H = 0, where X is a fractional Brownian motion and Y is an independent Brownian motion.

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来源期刊

Communications on Stochastic Analysis Mathematics-Statistics and Probability

CiteScore

2.40

自引率

0.00%

发文量

期刊介绍： The journal Communications on Stochastic Analysis (COSA) is published in four issues annually (March, June, September, December). It aims to present original research papers of high quality in stochastic analysis (both theory and applications) and emphasizes the global development of the scientific community. The journal welcomes articles of interdisciplinary nature. Expository articles of current interest will occasionally be published. COSAis indexed in Mathematical Reviews (MathSciNet), Zentralblatt für Mathematik, and SCOPUS