On integration by parts formula and characterization of fractional Ornstein-Uhlenbeck process

DOI10.1016/j.spl.2015.08.023zbMath1356.60064OpenAlexW1214137607MaRDI QIDQ900945

Feng Guo, Xiaoxia Sun

Publication date: 23 December 2015

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

Full work available at URL: https://doi.org/10.1016/j.spl.2015.08.023

zbMATH Keywords

characterizationfractional Ornstein-Uhlenbeck processintegration-by-parts formulapull-back formula

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (4)

Martingale representation and logarithmic-Sobolev inequality for the fractional Ornstein-Uhlenbeck measure ⋮ Unnamed Item ⋮ Integration-by-parts characterizations of Gaussian processes ⋮ Fractional Ornstein-Uhlenbeck process with stochastic forcing, and its applications

Cites Work

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• Differential equations driven by fractional Brownian motion
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• On fractional Ornstein-Uhlenbeck processes
• A Cameron-Martin Type Quasi-Invariance Theorem for Pinned Brownian Motion on a Compact Riemannian Manifold
• Stochastic Calculus for Fractional Brownian Motion I. Theory
• Fractional Brownian Motions, Fractional Noises and Applications
• Unnamed Item

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