Article ID Journal Published Year Pages File Type
1152654 Statistics & Probability Letters 2010 7 Pages PDF
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 H0∈(0,1/2].
Keywords
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Authors
, ,