Subscribe to the gold package and get unlimited access to Shamra Academy
Register a new userAsymptotic behavior of weighted quadratic variations of fractional Brownian motion: The critical case $H=1/4$
265
0
0.0
(
0
)
Ask ChatGPT about the research
No Arabic abstract
We derive the asymptotic behavior of weighted quadratic variations of fractional Brownian motion $B$ with Hurst index $H=1/4$. This completes the only missing case in a very recent work by I. Nourdin, D. Nualart and C. A. Tudor. Moreover, as an application, we solve a recent conjecture of K. Burdzy and J. Swanson on the asymptotic behavior of the Riemann sums with alternating signs associated to $B$.
rate research
Read More
In this paper we state and prove a central limit theorem for the finite-dimensional laws of the quadratic variations process of certain fractional Brownian sheets. The main tool of this article is a method developed by Nourdin and Nualart based on the Malliavin calculus.
We prove central and non-central limit theorems for the Hermite variations of the anisotropic fractional Brownian sheet $W^{alpha, beta}$ with Hurst parameter $(alpha, beta) in (0,1)^2$. When $0<alpha leq 1-frac{1}{2q}$ or $0<beta leq 1-frac{1}{2q}$ a central limit theorem holds for the renormalized Hermite variations of order $qgeq 2$, while for $1-frac{1}{2q}<alpha, beta < 1$ we prove that these variations satisfy a non-central limit theorem. In fact, they converge to a random variable which is the value of a two-parameter Hermite process at time $(1,1)$.
In this paper, we study the $frac{1}{H}$-variation of stochastic divergence integrals $X_t = int_0^t u_s {delta}B_s$ with respect to a fractional Brownian motion $B$ with Hurst parameter $H < frac{1}{2}$. Under suitable assumptions on the process u, we prove that the $frac{1}{H}$-variation of $X$ exists in $L^1({Omega})$ and is equal to $e_H int_0^T|u_s|^H ds$, where $e_H = mathbb{E}|B_1|^H$. In the second part of the paper, we establish an integral representation for the fractional Bessel Process $|B_t|$, where $B_t$ is a $d$-dimensional fractional Brownian motion with Hurst parameter $H < frac{1}{2}$. Using a multidimensional version of the result on the $frac{1}{H}$-variation of divergence integrals, we prove that if $2dH^2 > 1$, then the divergence integral in the integral representation of the fractional Bessel process has a $frac{1}{H}$-variation equals to a multiple of the Lebesgue measure.
We introduce an extension of the frog model to Euclidean space and prove properties for the spread of active particles. Fix $r>0$ and place a particle at each point $x$ of a unit intensity Poisson point process $mathcal P subseteq mathbb R^d - mathbb B(0,r)$. Around each point in $mathcal{P}$, put a ball of radius $r$. A particle at the origin performs Brownian motion. When it hits the ball around $x$ for some $x in mathcal P$, new particles begin independent Brownian motions from the centers of the balls in the cluster containing $x$. Subsequent visits to the cluster do nothing. This waking process continues indefinitely. For $r$ smaller than the critical threshold of continuum percolation, we show that the set of activated points in $mathcal P$ approximates a linearly expanding ball. Moreover, in any fixed ball the set of active particles converges to a unit intensity Poisson point process.
Nils Tongring (1987) proved sufficient conditions for a compact set to contain $k$-tuple points of a Brownian motion. In this paper, we extend these findings to the fractional Brownian motion. Using the property of strong local nondeterminism, we show that if $B$ is a fractional Brownian motion in $mathbb{R}^d$ with Hurst index $H$ such that $Hd=1$, and $E$ is a fixed, nonempty compact set in $mathbb{R}^d$ with positive capacity with respect to the function $phi(s) = (log_+(1/s))^k$, then $E$ contains $k$-tuple points with positive probability. For the $Hd > 1$ case, the same result holds with the function replaced by $phi(s) = s^{-k(d-1/H)}$.
Log in to be able to interact and post comments
comments
Fetching comments
Sign in to be able to follow your search criteria
