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arXiv · 1304.6426

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

David Nualart·Fangjun Xu
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Abstract

We prove a central limit theorem for an additive functional of the $d$-dimensional fractional Brownian motion with Hurst index $H\in(\frac{1}{2+d},\frac{1}{d})$, 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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David Nualart, Fangjun Xu. 2013-04-23. Central limit theorem for an additive functional of the fractional Brownian motion II. https://arxiv.org/abs/1304.6426

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