IDEAS home Printed from https://ideas.repec.org/a/eee/stapro/v80y2010i7-8p566-572.html
   My bibliography  Save this article

Continuity in the Hurst parameter of the law of the Wiener integral with respect to the fractional Brownian motion

Author

Listed:
  • Jolis, Maria
  • Viles, Noèlia

Abstract

We prove the convergence in law, in the space of continuous functions , 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[set membership, variant](0,1/2].

Suggested Citation

  • Jolis, Maria & Viles, Noèlia, 2010. "Continuity in the Hurst parameter of the law of the Wiener integral with respect to the fractional Brownian motion," Statistics & Probability Letters, Elsevier, vol. 80(7-8), pages 566-572, April.
  • Handle: RePEc:eee:stapro:v:80:y:2010:i:7-8:p:566-572
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167-7152(09)00469-6
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Bardina, Xavier & Jolis, Maria, 2006. "Multiple fractional integral with Hurst parameter less than," Stochastic Processes and their Applications, Elsevier, vol. 116(3), pages 463-479, March.
    2. Jolis, Maria & Viles, Noèlia, 2007. "Continuity with respect to the Hurst parameter of the laws of the multiple fractional integrals," Stochastic Processes and their Applications, Elsevier, vol. 117(9), pages 1189-1207, September.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Giordano, Luca M. & Jolis, Maria & Quer-Sardanyons, Lluís, 2020. "SPDEs with linear multiplicative fractional noise: Continuity in law with respect to the Hurst index," Stochastic Processes and their Applications, Elsevier, vol. 130(12), pages 7396-7430.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Jolis, Maria & Viles, Noèlia, 2007. "Continuity with respect to the Hurst parameter of the laws of the multiple fractional integrals," Stochastic Processes and their Applications, Elsevier, vol. 117(9), pages 1189-1207, September.
    2. Raby Guerbaz, 2009. "On Moduli of Continuity for Local Times of Fractional Stable Processes," Journal of Theoretical Probability, Springer, vol. 22(4), pages 934-954, December.
    3. Jolis, Maria & Viles, Noèlia, 2010. "Continuity in the Hurst parameter of the law of the symmetric integral with respect to the fractional Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 120(9), pages 1651-1679, August.
    4. Dejian Lai, 2010. "Group sequential tests under fractional Brownian motion in monitoring clinical trials," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 19(2), pages 277-286, June.
    5. Giordano, Luca M. & Jolis, Maria & Quer-Sardanyons, Lluís, 2020. "SPDEs with linear multiplicative fractional noise: Continuity in law with respect to the Hurst index," Stochastic Processes and their Applications, Elsevier, vol. 130(12), pages 7396-7430.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:80:y:2010:i:7-8:p:566-572. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.