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arxiv: 0802.3307 · v2 · submitted 2008-02-22 · 🧮 math.PR

Asymptotic behavior of weighted quadratic variations of fractional Brownian motion: The critical case H=1/4

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keywords asymptoticbehaviorbrowniancasefractionalmotionquadraticrecent
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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 $B$.

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