We show in this work that the limit in law of the cross-variation of processes having the form of Young integral with respect to a general self-similar centered Gaussian process of order β ∈ (1/2, 3/4] is normal according to the values of β. We apply our results to two self-similar Gaussian processes:the subfractional Brownian motion and the bifractional Brownian motion.
Soukaina DOUISSI
,
Khalifa ES-SEBAIY
,
Soufiane MOUSSATEN
. ASYMPTOTICS OF THE CROSS-VARIATION OF YOUNG INTEGRALS WITH RESPECT TO A GENERAL SELF-SIMILAR GAUSSIAN PROCESS[J]. Acta mathematica scientia, Series B, 2020
, 40(6)
: 1941
-1960
.
DOI: 10.1007/s10473-020-0621-8
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