Continuity in the Hurst parameter of the law of the symmetric integral with respect to the fractional Brownian motion

Maria Jolis and Noèlia Viles

Stochastic Processes and their Applications, 2010, vol. 120, issue 9, 1651-1679

Abstract: We prove the convergence in law, in the space of continuous functions , of the Russo-Vallois symmetric integral of a non-adapted process with respect to the fractional Brownian motion with Hurst parameter H>1/2 to the Russo-Vallois symmetric integral with respect to the fractional Brownian motion with parameter H0, when H tends to H0[set membership, variant][1/2,1).

Keywords: Convergence; in; law; Fractional; Brownian; motion; Russo-Vallois; symmetric; integral (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (2)

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