Asymptotic behavior of weighted power variations of fractional Brownian motion in Brownian time
arXiv:1604.03157
Abstract
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.
arXiv commentversion2, to appear in Journal of Theoretical probability