CENTRAL LIMIT THEOREM FOR AN ADDITIVE FUNCTIONAL OF THE FRACTIONAL BROWNIAN MOTION

• 成果类型: Article
• 署名作者: Hu, Yaozhong; Nualart, David; Xu, Fangjun
• 署名单位: University of Kansas; East China Normal University
• 刊物名称: ANNALS OF PROBABILITY
• ISSN/ISSBN: 0091-1798
• DOI: 10.1214/12-AOP825
• 发表日期: 2014
• 页码: 168-203
• 关键词: local-times

摘要

We prove a central limit theorem for an additive functional of the d-dimensional fractional Brownian motion with Hurst index H is an element of (1/1+d, 1/d), using the method of moments, extending the result by Papanicolaou, Stroock and Varadhan in the case of the standard Brownian motion.