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Article Dans Une Revue Electronic Journal of Probability Année : 2005

Convergence in fractional models

Résumé

We consider a fractional Brownian motion with Hurst parameter strictly between 0 and 1. We are interested in the asymptotic behaviour of functionals of the increments of this and related processes and we propose several probabilistic and statistical applications.

Dates et versions

hal-00318868 , version 1 (05-09-2008)

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Citer

Corinne Berzin, José R. León. Convergence in fractional models. Electronic Journal of Probability, 2005, 10 (10), pp.326-370. ⟨10.1214/EJP.v10-172⟩. ⟨hal-00318868⟩

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