Cross-variation of Young integral with respect to long-memory fractional Brownian motions
Résumé
We study the asymptotic behaviour of the cross-variation of two-dimensional processes having the form of a Young integral with respect to a fractional Brownian motion of index $H > 1/ 2$. When $H$ is smaller than or equal to $3 / 4$, we show asymptotic mixed normality. When $H$ is strictly bigger than $3/4$, we obtain a limit that is expressed in terms of the difference of two independent Rosenblatt processes.
Domaines
Probabilités [math.PR]
Origine : Fichiers produits par l'(les) auteur(s)
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