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Convergence of Certain Functionals of Integral Fractional Processes

  • José Manuel Corcuera
  • David Nualart
  • Jeannette H. C. Woerner
Article

Abstract

In this paper we consider the asymptotic behavior of functionals of processes of the form 0 t u s dB s H , where B H is a fractional Brownian motion with Hurst parameter H, and u is a process with finite q-variation, q<1/(1−H). We establish the stable convergence of the corresponding fluctuations.

Keywords

Fractional Brownian motion Central and non-central limit theorems Long-memory Stable convergence 

Mathematics Subject Classification (2000)

60F05 60G15 60G18 62M99 

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Copyright information

© Springer Science+Business Media, LLC 2008

Authors and Affiliations

  • José Manuel Corcuera
    • 1
  • David Nualart
    • 2
  • Jeannette H. C. Woerner
    • 3
  1. 1.Universitat de BarcelonaBarcelonaSpain
  2. 2.University of KansasLawrenceUSA
  3. 3.Institut für Mathematische StochastikUniversität GöttingenGöttingenGermany

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