Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1152654 | Statistics & Probability Letters | 2010 | 7 Pages |
Abstract
We prove the convergence in law, in the space of continuous functions C([0,T]), of the Wiener integral of a deterministic function f with respect to the fractional Brownian motion with a Hurst parameter H to the Wiener integral of f with respect to the fractional Brownian motion with a parameter H0, when H tends to H0â(0,1/2].
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Maria Jolis, Noèlia Viles,