Fractional diffusion Bessel processes with Hurst index \(H \in (0, \frac{1}{2})\) (Q6152268): Difference between revisions

The authors define the fractional diffusion Bessel process \(X^H\) for \(H < \frac{1}{2}\) as the pointwise limit, as \(\varepsilon\) decreases to zero, of the processes \(Y^\varepsilon\) that satisfy the SDE of the following type (in the integral form) \[ Y_t^\varepsilon=X_0+a\int_0^t\frac{1}{Y_s^\varepsilon I_{Y_s^{\varepsilon}>0}+\varepsilon}ds+\sigma B_t^H, \] where \(X_0,a,\sigma\) are positive constants and \(B^H\) is a fractional Brownian motion with index \(H<\frac{1}{2}.\) They establish that the limiting process is well-defined and study its asymptotic properties. It is shown that the limit \(X_t^H(\omega)\) exists, is nonnegative almost surely and is positive almost everywhere with respect to the Lebesgue measure almost surely. In addition, the trajectories of the process \(X^H\) are continuous almost everywhere on \(R^+\) almost surely. They also study other asymptotic properties of its sample paths.