Asymptotic behavior of weighted quadratic and cubic variations of fractional brownian motion

Abstract

The present article is devoted to a fine study of the convergence of renor-malized weighted quadratic and cubic variations of a fractional Brownian motion B with Hurst index H. In the quadratic (resp. cubic) case, when H 〈 1/4 (resp. H 〉 1/6), we show by means of Malliavin calculus that the convergence holds in L2 toward an explicit limit which only depends on B. This result is somewhat surprising when compared with the celebrated Breuer and Major theorem. © Institute of Mathematical Statistics, 2008.