Asymptotic behavior of weighted power variations of fractional Brownian motion in Brownian time
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🧮 math.PR
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brownianmotionfractionalasymptoticbehaviorpowertimevariations
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We study the asymptotic behavior of weighted power variations of fractional Brownian motion in Brownian time Z_t:= X_{Y_t}, t >= 0, where X is a fractional Brownian motion and Y is an independent Brownian motion.
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