Fractional martingales and characterization of the fractional Brownian motion

DOI10.1214/09-AOP464zbMath1196.60075arXiv0711.1313MaRDI QIDQ971945

Yaozhong Hu, David Nualart, Jian Song

Publication date: 17 May 2010

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0711.1313

zbMATH Keywords

fractional Brownian motionlocal martingale\(\beta\)-variationfractional martingaleLévy's characterization theorem

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Brownian motion (60J65) Martingales with continuous parameter (60G44) Functions of bounded variation, generalizations (26A45)

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Cites Work

• Occupation densities
• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• An extension of the Lévy characterization to fractional Brownian motion
• Integral transformations and anticipative calculus for fractional Brownian motions
• Arbitrage with Fractional Brownian Motion
• Fractional Brownian Motions, Fractional Noises and Applications
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