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Mathematics  2011 

Central limit theorem for an additive functional of the fractional Brownian motion

DOI: 10.1214/12-AOP825

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Abstract:

We prove a central limit theorem for an additive functional of the $d$-dimensional fractional Brownian motion with Hurst index $H\in(\frac{1}{1+d},\frac{1}{d})$, using the method of moments, extending the result by Papanicolaou, Stroock and Varadhan in the case of the standard Brownian motion.

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