A first-order limit law for functionals of two independent fractional Brownian motions in the critical case

作者：Bi, Junna; Xu, Fangjun^*

来源：Journal of Theoretical Probability, 2016, 29(3): 941-957.

DOI：10.1007/s10959-015-0604-1

• Limit theorem
• Fractional Brownian motion
• Method of moments
• Short range dependence

We prove a first-order limit law for functionals of two independent -dimensional fractional Brownian motions with the same Hurst index , using the method of moments and extending a result by LeGall in the case of Brownian motion.

• 出版日期2016-9
• 单位华东师范大学