Weak symmetric integrals with respect to the fractional Brownian motion

Citation
Binotto, Giulia et al., Weak symmetric integrals with respect to the fractional Brownian motion, Annals of probability (Online) , 46(4), 2018, pp. 2243-2267
ISSN journal
2168894X
Volume
46
Issue
4
Year of publication
2018
Pages
2243 - 2267
Database
ACNP
SICI code
Abstract
The aim of this paper is to establish the weak convergence, in the topology of the Skorohod space, of the .-symmetric Riemann sums for functionals of the fractional Brownian motion when the Hurst parameter takes the critical value H=(4.+2).1, where .=.(.).1 is the largest natural number satisfying .10.2j.(d.)=12j+1 for all j=0,.,..1. As a consequence, we derive a change-of-variable formula in distribution, where the correction term is a stochastic integral with respect to a Brownian motion that is independent of the fractional Brownian