Article ID Journal Published Year Pages File Type
1156885 Stochastic Processes and their Applications 2010 29 Pages PDF
Abstract

We prove the convergence in law, in the space of continuous functions C([0,T])C([0,T]), of the Russo–Vallois symmetric integral of a non-adapted process with respect to the fractional Brownian motion with Hurst parameter H>1/2H>1/2 to the Russo–Vallois symmetric integral with respect to the fractional Brownian motion with parameter H0H0, when HH tends to H0∈[1/2,1)H0∈[1/2,1).

Related Topics
Physical Sciences and Engineering Mathematics Mathematics (General)
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