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Asymptotic behavior of weighted power variations of fractional Brownian motion in Brownian time

Published 11 Apr 2016 in math.PR | (1604.03157v2)

Abstract: We study the asymptotic behavior of weighted power variations of fractional Brownian motion in Brownian time Z_t:= X_{Y_t}, t >= 0, where X is a fractional Brownian motion and Y is an independent Brownian motion.

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Authors (1)

  1. Raghid Zeineddine 

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