A Gladyshev theorem for trifractional Brownian motion and $n$-th order fractional Brownian motion

Xiyue Han

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arXiv · 2105.02385

A Gladyshev theorem for trifractional Brownian motion and $n$-th order fractional Brownian motion

Xiyue Han

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Abstract

We prove limit theorems for the weighted quadratic variation of trifractional Brownian motion and $n$-th order fractional Brownian motion. Furthermore, a sufficient condition for the $L^P$-convergence of the weighted quadratic variation for Gaussian processes is obtained as a byproduct. As an application, we give a statistical estimator for the self-similarity index of trifractional Brownian motion. These theorems extend results of Baxter, Gladyshev, and Norvai\v{s}a.

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Xiyue Han. 2021-05-06. A Gladyshev theorem for trifractional Brownian motion and $n$-th order fractional Brownian motion. https://arxiv.org/abs/2105.02385

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