Convergence in law for certain weighted quadratic variations of fractional Brownian motion

Ivan Nourdin (1) , David Nualart (2)

1 LPMA - Laboratoire de Probabilités et Modèles Aléatoires
2 Department of Mathematics [Lawrence, Kansas]

By means of Malliavin calculus, we prove the convergence in law for certain weighted quadratic variations of a fractional Brownian motion B with Hurst index H between 1/4 and 1/2.

Mots clés: Fractional Brownian motion; weighted quadratic variations; Malliavin calculus; weak convergence

Domaines: Probabilités [math.PR]

Ivan Nourdin, David Nualart. Convergence in law for certain weighted quadratic variations of fractional Brownian motion. 2007. ⟨hal-00164821v1⟩