Central limit theorem for weighted local time of modulus of fractional Brownian motion.

Abstract: In this paper, we mainly prove a central limit theorem for weighted local time of -modulus of fractional Brownian motion with Hurst parameter . Similar to Hu and Nualart (2009), based on techniques of stochastic analysis, the main ingredients of the proof are analogous to the asymptotic version of Knight’s theorem and the fractional Clark–Ocone formula for the -modulus of the weighted local time increments. [Copyright &y& Elsevier]