Integrated functionals of normal and fractional processes

Boris Buchmann, Ngai Hang Chan

Consider $Z_t^f(u)={\int }_0^{tu}f(N_s)ds$, $t>0$, $u\in [0,1]$, where $N=(N_t{)}_{t\in \mathbb{R}}$ is a normal process and $f$ is a measurable real-valued function satisfying $Ef(N_0)^…