Central limit theorem for an additive functional of the fractional Brownian motion
arXiv:1111.4419 · doi:10.1214/12-AOP825
Abstract
We prove a central limit theorem for an additive functional of the $d$-dimensional fractional Brownian motion with Hurst index $H\in(\frac{1}{1+d},\frac{1}{d})$, using the method of moments, extending the result by Papanicolaou, Stroock and Varadhan in the case of the standard Brownian motion.
Published in at http://dx.doi.org/10.1214/12-AOP825 the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org)