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arXiv · 1604.03157

Asymptotic behavior of weighted power variations of fractional Brownian motion in Brownian time

Raghid Zeineddine
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Abstract

We study the asymptotic behavior of weighted power variations of fractional Brownian motion in Brownian time Z_t:= X_{Y_t}, t >= 0, where X is a fractional Brownian motion and Y is an independent Brownian motion.

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Raghid Zeineddine. 2017-02-27. Asymptotic behavior of weighted power variations of fractional Brownian motion in Brownian time. https://arxiv.org/abs/1604.03157

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