Central limit theorem for functionals of two independent fractional Brownian motions

David Nualart and Fangjun Xu

Stochastic Processes and their Applications, 2014, vol. 124, issue 11, 3782-3806

Abstract: We prove a central limit theorem for functionals of two independent d-dimensional fractional Brownian motions with the same Hurst index H in (2d+2,2d) using the method of moments.

Keywords: Fractional Brownian motion; Intersection local time; Local time; Method of moments (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:124:y:2014:i:11:p:3782-3806

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DOI: 10.1016/j.spa.2014.07.002

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