Some processes associated with fractional Bessel processes (Q1780930): Difference between revisions

Let \(B=\{ B_{t}^{\left( i\right) },~1\leq i\leq d,~\;t\geq 0\} \) be a \(d\)-dimensional fractional Brownian motion with the Hurst parameter \( 0<H<1.\) The Itô formula for the fractional Bessel process \[ R_{t}=\sqrt{ \left( B_{t}^{1}\right) ^{2}+\cdots +\left( B_{t}^{d}\right) ^{2}} \] yields the equation \[ R_{t}=\sum_{i=1}^{d}\;\frac{B_{s}^{i}}{R_{s}}dB_{s}^{i}+H\left( d-1\right) \int\limits_{0}^{t}\frac{s^{2H-1}}{R_{s}}ds \] and for \(d=1\) \[ \left| B_{t}\right| =\int\limits_{0}^{t}\text{sign}\left( B_{s}\right) dBs+H\int\limits_{0}^{t}\delta _{0}\left( B_{s}\right) s^{2H-1}ds. \] The approach based on the Wiener extension makes it possible to prove that, if \(H\neq \frac{1}{2}\), then the process \(X_{t}=\sum_{i=1}^{d}(B_{s}^{i}/R_{s})dB_{s}^{i},~d\geq 1,\) is not the fractional Brownian motion. The process \(X_{t}\) has Hőlder continuous paths of order \(\alpha <H.\) For \(H>\frac{1}{2}\), its \(\frac{1}{H}\)-variation is finite and the process is long-range dependent only if \(H> \frac{2}{3}.\)