Central limit theorem for an additive functional of the fractional Brownian motion II
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🧮 math.PR
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brownianmotionadditivecentralfracfractionalfunctionallimit
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We prove a central limit theorem for an additive functional of the $d$-dimensional fractional Brownian motion with Hurst index $H\in(\frac{1}{2+d},\frac{1}{d})$, 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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