A decomposition of the bifractional Brownian motion and some applications

DOI10.1016/j.spl.2008.10.009zbMath1157.60313arXiv0803.2227OpenAlexW1996118162MaRDI QIDQ1007350

David Nualart, Pedro Lei

Publication date: 20 March 2009

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

Full work available at URL: https://arxiv.org/abs/0803.2227

Mathematics Subject Classification ID

Gaussian processes (60G15)

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Cites Work

• On the Wiener integral with respect to the fractional Brownian motion on an interval
• Stochastic analysis of the fractional Brownian motion
• Small values of Gaussian processes and functional laws of the iterated logarithm
• Are classes of deterministic integrands for fractional Brownian motion on an interval complete?
• Sample path properties of bifractional Brownian motion
• On bifractional Brownian motion
• Wiener integrals, Malliavin calculus and covariance measure structure
• The Malliavin Calculus and Related Topics
• MULTIDIMENSIONAL BIFRACTIONAL BROWNIAN MOTION: ITÔ AND TANAKA FORMULAS
• Arbitrage with Fractional Brownian Motion
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