Remarks on an integral functional driven by sub-fractional Brownian motion

DOI10.1016/j.jkss.2010.12.004zbMath1237.60030OpenAlexW2141142205MaRDI QIDQ634857

Litan Yan, Guang Jun Shen

Publication date: 17 August 2011

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2010.12.004

zbMATH Keywords

local time\(p\)-variationself-intersection local timestochastic area integralsSub-fractional Brownian motion

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) Local time and additive functionals (60J55)

Related Items (10)

On the self-intersection local time of subfractional Brownian motion ⋮ Stochastic integration with respect to the sub-fractional Brownian motion with ⋮ The generalized Bouleau-Yor identity for a sub-fractional Brownian motion ⋮ On the convergence to the multiple subfractional Wiener-Itō integral ⋮ Remarks on asymptotic behavior of weighted quadratic variation of subfractional Brownian motion ⋮ Estimators for the Drift of Subfractional Brownian Motion ⋮ An Approximation of Subfractional Brownian Motion ⋮ Least squares estimator for \(\alpha\)-sub-fractional bridges ⋮ Variations and estimators for self-similarity parameter of sub-fractional Brownian motion via Malliavin calculus ⋮ Approximation of stochastic differential equations driven by subfractional Brownian motion at discrete time observation

Cites Work

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