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arXiv · 1211.1967

Central limit theorem for functionals of two independent fractional Brownian motions

David Nualart·Fangjun Xu
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Abstract

We prove a central limit theorem for functionals of two independent $d$-dimensional fractional Brownian motions with the same Hurst index $H$ in $(\frac{2}{d+1},\frac{2}{d})$ using the method of moments.

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David Nualart, Fangjun Xu. 2012-11-08. Central limit theorem for functionals of two independent fractional Brownian motions. https://arxiv.org/abs/1211.1967

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