Continuity in the Hurst parameter of the law of the Wiener integral with respect to the fractional Brownian motion

Maria Jolis , Noèlia Viles

We prove the convergence in law, in the space of continuous functions , of the Wiener integral of a deterministic function with respect to the fractional Brownian motion with Hurst parameter to the Wiener integral of with respect to the fractional Brownian motion with parameter , when tends to .

Mots clés: 60B12; 60H05; 60G15

Maria Jolis, Noèlia Viles. Continuity in the Hurst parameter of the law of the Wiener integral with respect to the fractional Brownian motion. Statistics and Probability Letters, 2010, 80 (7-8), pp.566. ⟨10.1016/j.spl.2009.12.011⟩. ⟨hal-00616893⟩