Variations of the fractional Brownian motion via Malliavin calculus

Variations of the fractional Brownian motion via Malliavin calculus (2008)

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by Ciprian A. Tudor , Frederi G. Viens

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2 - 1 self

BibTeX

@MISC{Tudor08variationsof,
    author = {Ciprian A. Tudor and Frederi G. Viens},
    title = {Variations of the fractional Brownian motion via Malliavin calculus},
    year = {2008}
}

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Abstract

Using recent criteria for the convergence of sequences of multiple stochastic integrals based on the Malliavin calculus, we analyze the asymptotic behavior of quadratic variations for the fractional Brownian motion (fBm) and we apply our results to the design of a strongly consistent statistical estimators for the fBm’s self-similarity parameter H.

Citations

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1	2008): Variations and estimators for the selfsimilarity index via Malliavin calculus. Preprint, under revision for The Annals of Probability - Tudor, Viens