Power variations and limit theorems for stochastic processes controlled by fractional Brownian motions
Author:
Affiliation:
1. Baruch College, CUNY, New York
2. New York City College of Technology, CUNY, New York
Publisher
Institute of Mathematical Statistics
Reference46 articles.
1. Jean Jacod and Albert Shiryaev, Limit theorems for stochastic processes, vol. 288, Springer Science & Business Media, 2013.
2. David Nualart, The Malliavin calculus and related topics, vol. 1995, Springer, 2006.
3. Yacine Aït-Sahalia and Jean Jacod, High-frequency financial econometrics, Princeton University Press, 2014.
4. David J Aldous and Geoffrey Kennedy Eagleson, On mixing and stability of limit theorems, The Annals of Probability (1978), 325–331.
5. Ole E Barndorff-Nielsen, José Manuel Corcuera, and Mark Podolskij, Power variation for gaussian processes with stationary increments, Stochastic Processes and Their Applications 119 (2009), no. 6, 1845–1865.
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