Maximal inequalities for the iterated fractional integrals

DOI10.1016/J.SPL.2004.06.005zbMath1072.60015OpenAlexW2083158361MaRDI QIDQ1771439

Litan Yan

Publication date: 21 April 2005

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2004.06.005

zbMATH Keywords

fractional Brownian motionItô type formulafractional Itô integraldomination relation

Mathematics Subject Classification ID

Gaussian processes (60G15) Central limit and other weak theorems (60F05) Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type (42B10) Stochastic integrals (60H05)

Related Items (2)

Stationarity and control of a tandem fluid network with fractional Brownian motion input ⋮ Bounds on exponential moments of hitting times for reflected processes on the positive orthant

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Stochastic analysis of the fractional Brownian motion
• On some maximal inequalities for fractional Brownian motions
• An Itô formula for generalized functionals of a fractional Brownian motion with arbitrary Hurst parameter.
• L\({}^ p\) estimates on iterated stochastic integrals
• Inequalities for Non-Moderate Functions of a Pair of Stochastic Processes
• A General Fractional White Noise Theory And Applications To Finance
• Stochastic Calculus for Fractional Brownian Motion I. Theory
• Fractional Brownian Motions, Fractional Noises and Applications
• Stochastic calculus with respect to Gaussian processes
• Inequalities for the moments of Wiener integrals with respect to a fractional Brownian motion

This page was built for publication: Maximal inequalities for the iterated fractional integrals