Central limit theorem for an additive functional of the fractional Brownian motion

Authors
Hu, Yaozhong Nualart, David Xu, Fangjun
Citation
Hu, Yaozhong et al., Central limit theorem for an additive functional of the fractional Brownian motion, Annals of probability , 42(1), 2014, pp. 168-203
Journal title
Annals of probability → ACNP
ISSN journal
00911798
Volume
42
Issue
1
Year of publication
2014
Pages
168 - 203
Database
ACNP
SICI code
Abstract
We prove a central limit theorem for an additive functional of the d-dimensional fractional Brownian motion with Hurst index H.(11+d,1d), using the method of moments, extending the result by Papanicolaou, Stroock and Varadhan in the case of the standard Brownian motion.