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 Electronic Journal of Probability > Vol. 10 (2005) > Paper 10 open journal systems 


Convergence in Fractional Models and Applications

Corinne Berzin, LabSad, Université Pierre Mendès-France
José Rafael León, Universidad Central de Venezuelz


Abstract
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.


Full text: PDF

Pages: 326-370

Published on: March 4, 2005
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Electronic Journal of Probability. ISSN: 1083-6489