Title of article :
Continuity in the Hurst parameter of the law of the symmetric integral with respect to the fractional Brownian motion
Author/Authors :
Jolis، نويسنده , , Maria and Viles، نويسنده , , Noèlia، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2010
Pages :
29
From page :
1651
To page :
1679
Abstract :
We prove the convergence in law, in the space of continuous functions C ( [ 0 , T ] ) , 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 H 0 , when H tends to H 0 ∈ [ 1 / 2 , 1 ) .
Keywords :
Fractional Brownian motion , Russo–Vallois symmetric integral , Convergence in law
Journal title :
Stochastic Processes and their Applications
Serial Year :
2010
Journal title :
Stochastic Processes and their Applications
Record number :
1578308
Link To Document :
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