Central limit theorem for an iterated integral with respect to fBm withH>1/2
Work
Year: 2013
Type: article
Abstract: We construct an iterated stochastic integral with fractional Brownian motion with H > 1/2. The first integrand is a deterministic function, and each successive integral is with respect to an independe... more
Source: Stochastics
Authors Daniel Harnett, David Nualart
Institution University of Kansas
Cites: 16
Cited by: 2
Related to: 10
FWCI: 0.329
Citation percentile (by year/subfield): 62.91
Subfield: Finance
Domain: Social Sciences
Open Access status: green