Second-order limit laws for occupation times of fractional Brownian motion
Work
Year: 2017
Type: article
Abstract: We prove a second-order limit law for additive functionals of a d -dimensional fractional Brownian motion with Hurst index H = 1 / d , using the method of moments and extending the Kallianpur–Robbins... more
Source: Journal of Applied Probability
Author Fangjun Xu
Cites: 12
Cited by: 6
Related to: 10
FWCI: 1.538
Citation percentile (by year/subfield): 71.21
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Peace, justice, and strong institutions
Open Access status: green