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

Maria Jolis and Noèlia Viles

Statistics & Probability Letters, 2010, vol. 80, issue 7-8, 566-572

Abstract: We prove the convergence in law, in the space of continuous functions , of the Wiener integral of a deterministic function f with respect to the fractional Brownian motion with a Hurst parameter H to the Wiener integral of f with respect to the fractional Brownian motion with a parameter H0, when H tends to H0[set membership, variant](0,1/2].

Date: 2010
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