ASYMPTOTICS OF THE CROSS-VARIATION OF YOUNG INTEGRALS WITH RESPECT TO A GENERAL SELF-SIMILAR GAUSSIA

• 作 者: Soukaina DOUISSI Khalifa ES-SEBAIY Souhiane MOUSSATEN
• 机 构: Laboratory LIBMA, Faculty Semlalia, University Cadi Ayyad, 40000 Marrakech, Morocco,Department of St
• 出 处: 数学物理学报（英文版）
• 发表日期: 2020年6期
• 关键词: self-similar Gaussian processes Young integral Breuer-Major theorem sub-fract

We show in this work that the limit in law of the cross-variation of processes having the form of Young integral with respect to a general self-similar centered Gaussian process of order β ∈ (1/2, 3/4] is normal according to the values of β. We apply our results to two self-similar Gaussian processes: the subfractional Brownian motion and the bifractional Brownian motion.