Work

Asymptotic behavior of weighted quadratic variations of fractional Brownian motion: The critical case H=1/4

Year: 2009

Type: article

Abstract: We derive the asymptotic behavior of weighted quadratic variations of fractional Brownian motion B with Hurst index H=1/4. This completes the only missing case in a very recent work by I. Nourdin, D. Nualart and C. A. Tudor. Moreover, as an application, we solve a recent conjecture of K. Burdzy and J. Swanson on the asymptotic behavior of the Riemann sums with alternating signs associated to B.

Source: The Annals of Probability

DOI: 10.1214/09-aop473

Authors: Ivan Nourdin, Anthony Réveillac

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2115599884

FWCI: 7.891

Cites: 28

Cited by: 64

Related to: 10