Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1156885 | Stochastic Processes and their Applications | 2010 | 29 Pages |
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).
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Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Maria Jolis, Noèlia Viles,