Central limit theorem for weighted local time of L-2 modulus of fractional Brownian motion

作者：Chen, Chao^*; Yan, Litan; Ju, Cheng

来源：Journal of the Korean Statistical Society, 2012, 41(4): 451-458.

DOI：10.1016/j.jkss.2012.01.008

• Malliavin calculus
• Fractional Clark-Ocone formula
• Knight's theorem
• Tanaka formula

In this paper, we mainly prove a central limit theorem for weighted local time of L-2-modulus of fractional Brownian motion with Hurst parameter H is an element of (1/2, 1). Similar to Hu and Nualart (2009), based on techniques of stochastic analysis, the main ingredients of the proof are analogous to the asymptotic version of Knight's theorem and the fractional Clark-Ocone formula for the L-2-modulus of the weighted local time increments.

• 出版日期2012-12
• 单位华东理工大学; 东华大学