TY - JOUR
T1 - Continuity in the Hurst parameter of the law of the Wiener integral with respect to the fractional Brownian motion
AU - Jolis, Maria
AU - Viles, Noèlia
PY - 2010/1/1
Y1 - 2010/1/1
N2 - We prove the convergence in law, in the space of continuous functions C ([0, T]), of the Wiener integral of a deterministic function f with respect to the fractional Brownian motion with a Hurst parameter H to the Wiener integral of f with respect to the fractional Brownian motion with a parameter H0, when H tends to H0 ∈ (0, 1 / 2]. © 2009 Elsevier B.V. All rights reserved.
AB - We prove the convergence in law, in the space of continuous functions C ([0, T]), of the Wiener integral of a deterministic function f with respect to the fractional Brownian motion with a Hurst parameter H to the Wiener integral of f with respect to the fractional Brownian motion with a parameter H0, when H tends to H0 ∈ (0, 1 / 2]. © 2009 Elsevier B.V. All rights reserved.
U2 - https://doi.org/10.1016/j.spl.2009.12.011
DO - https://doi.org/10.1016/j.spl.2009.12.011
M3 - Article
SN - 0167-7152
VL - 80
SP - 566
EP - 572
JO - Statistics and Probability Letters
JF - Statistics and Probability Letters
ER -