• Cross-variation of Young integral with respect to long-memory fractional Brownian motions35

Cross-variation of Young integral with respect to long-memory fractional Brownian motions35

Ivan Nourdin
Google Scholar Ivan Nourdin
Rola Zintout
Google Scholar Rola Zintout
Publikacja:

Abstrakt

We study the asymptotic behaviour of the cross-variation of two-dimensional processes having the form of a Young integral with respect to a fractional Brownian motion of index H > 1/2 . When H is smaller than or equal to 3/4 , we show asymptotic mixed normality. When H is stricly greater than 3/4 , we obtain a limit that is expressed in terms of the difference of two independent Rosenblatt processes.

Pobierz artykuł PDF

Zamierzasz pobrać artykuł darmowy. Tutaj znajdziesz informacje o zasadach pobierania darmowych artykułów z bazy.