A central limit theorem for the rescaled Lévy area of two-dimensional fractional Brownian motion with Hurst index $H<1/4$

Jeremie Unterberger

Let $B=(B^{(1)},B^{(2)})$ be a two-dimensional fractional Brownian motion with Hurst index $\alpha \in (0,1/4)$. Using an analytic approximation $B(\eta )$ of $B$ introduced in \cite{Unt08},…