| A Remark on Weighted Cubic Variation of Subfractional Brownian Motion with $H<1/6$ |
| Received:October 12, 2014 Revised:November 24, 2014 |
| Key Words:
Subfractional Brownian motion Malliavin calculus weighted cubic variation
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| Fund Project:Supported by the National Natural Science Foundation of China (Grant No.11401313), China Postdoctoral Science Foundation (Grant Nos.2014M560368; 2015T80475), the Natural Science Foundation of Jiangsu Educational Committee (Grant No.14KJB110013), 2014 Qing Lan Project, Jiangsu Planned Projects for Postdoctoral Research Funds (Grant No.1401011C), 2013 Jiangsu Government Scholarship for Overseas Studies and Priority Academic Program Development of Jiangsu Higher Education Institutions. |
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| Abstract: |
| In this paper, we prove by means of Malliavin calculus the convergence in $L^2$ of some properly renormalized weighted cubic variation of sub-fractional Brownian motion $S^H$ with parameter $H<\frac16$. |
| Citation: |
| DOI:10.3770/j.issn:2095-2651.2015.05.010 |
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