IDEAS home Printed from https://ideas.repec.org/a/spr/jotpro/v29y2016i3d10.1007_s10959-015-0604-1.html
   My bibliography  Save this article

A first-order limit law for functionals of two independent fractional Brownian motions in the critical case

Author

Listed:
  • Junna Bi

    (East China Normal University)

  • Fangjun Xu

    (East China Normal University)

Abstract

We prove a first-order limit law for functionals of two independent $$d$$ d -dimensional fractional Brownian motions with the same Hurst index $$H=2/d\,(d\ge 4)$$ H = 2 / d ( d ≥ 4 ) , using the method of moments and extending a result by LeGall in the case of Brownian motion.

Suggested Citation

  • Junna Bi & Fangjun Xu, 2016. "A first-order limit law for functionals of two independent fractional Brownian motions in the critical case," Journal of Theoretical Probability, Springer, vol. 29(3), pages 941-957, September.
    • Handle: RePEc:spr:jotpro:v:29:y:2016:i:3:d:10.1007_s10959-015-0604-1
    DOI: 10.1007/s10959-015-0604-1
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1007/s10959-015-0604-1
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.
    File URL: https://libkey.io/10.1007/s10959-015-0604-1?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    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. Nualart, David & Xu, Fangjun, 2014. "Central limit theorem for functionals of two independent fractional Brownian motions," Stochastic Processes and their Applications, Elsevier, vol. 124(11), pages 3782-3806.
    2. David Nualart & Salvador Ortiz-Latorre, 2007. "Intersection Local Time for Two Independent Fractional Brownian Motions," Journal of Theoretical Probability, Springer, vol. 20(4), pages 759-767, December.
    3. Dongsheng Wu & Yimin Xiao, 2010. "Regularity of Intersection Local Times of Fractional Brownian Motions," Journal of Theoretical Probability, Springer, vol. 23(4), pages 972-1001, December.
    Full references (including those not matched with items on IDEAS)

    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. Jingjun Guo & Yaozhong Hu & Yanping Xiao, 2019. "Higher-Order Derivative of Intersection Local Time for Two Independent Fractional Brownian Motions," Journal of Theoretical Probability, Springer, vol. 32(3), pages 1190-1201, September.
    2. Song, Jian & Xu, Fangjun & Yu, Qian, 2019. "Limit theorems for functionals of two independent Gaussian processes," Stochastic Processes and their Applications, Elsevier, vol. 129(11), pages 4791-4836.
    3. Paul Jung & Greg Markowsky, 2015. "Hölder Continuity and Occupation-Time Formulas for fBm Self-Intersection Local Time and Its Derivative," Journal of Theoretical Probability, Springer, vol. 28(1), pages 299-312, March.
    4. Dongsheng Wu & Yimin Xiao, 2010. "Regularity of Intersection Local Times of Fractional Brownian Motions," Journal of Theoretical Probability, Springer, vol. 23(4), pages 972-1001, December.
    5. Nualart, David & Xu, Fangjun, 2019. "Asymptotic behavior for an additive functional of two independent self-similar Gaussian processes," Stochastic Processes and their Applications, Elsevier, vol. 129(10), pages 3981-4008.

    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:spr:jotpro:v:29:y:2016:i:3:d:10.1007_s10959-015-0604-1. 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: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    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.