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Limit Theorems for Logarithmic Averages of Fractional Brownian Motions

Author

Listed:
  • István Berkes

    (Mathematical Institute of the Hungarian Academy of Sciences)

  • Lajos Horváth

    (University of Utah)

Abstract

We prove almost sure invariance principles for logarithmic averages of fractional Brownian motions.

Suggested Citation

  • István Berkes & Lajos Horváth, 1999. "Limit Theorems for Logarithmic Averages of Fractional Brownian Motions," Journal of Theoretical Probability, Springer, vol. 12(4), pages 985-1009, October.
  • Handle: RePEc:spr:jotpro:v:12:y:1999:i:4:d:10.1023_a:1021641020103
    DOI: 10.1023/A:1021641020103
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    References listed on IDEAS

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    1. Berkes, István & Horváth, Lajos, 1996. "Between local and global logarithmic averages," Statistics & Probability Letters, Elsevier, vol. 30(4), pages 369-378, November.
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