On Simpson's rule and fractional Brownian motion with H = 1/10

Abstract

We consider stochastic integration with respect to fractional Brownian motion (fBm) with $H<1/2$. The integral is constructed as the limit, where it exists, of a sequence of Riemann sums. A theorem by Gradinaru, Nourdin, Russo & Vallois (2005) holds that a sequence of Simpson's rule Riemann sums converges in probability for a sufficiently smooth integrand $f$ and when the stochastic process is fBm with $H>1/10$. For the case $H=1/10$, we prove that the sequence of sums converges in distribution. Consequently, we have an Itô-like formula for the resulting stochastic integral. The convergence in distribution follows from a Malliavin calculus theorem that first appeared in Nourdin and Nualart (2010).

References in corpus (1)

• Central limit theorem for a Stratonovich integral with Malliavin calculus