Central limit theorem for an additive functional of the fractional Brownian motion

Details Central limit theorem for an additive functional of the fractional Brownian motion Central limit theorem for an additive functional of the fractional Brownian motion

2011-11-18

arxiv.org/abs/1111.4419v1

Mathematics

Probability

Scientific paper

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

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