Weighted Local Time for Fractional Brownian Motion and Applications to Finance

DOI10.1081/SAP-200044412zbMath1067.60028MaRDI QIDQ4678743

Donna Mary Salopek, Bernt Øksendal, Yaozhong Hu

Publication date: 23 May 2005

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

zbMATH Keywords

Tanaka formulafractional white noise

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70) White noise theory (60H40) Stochastic integrals (60H05)

Related Items (11)

The fractional derivative for fractional Brownian local time with Hurst index large than 1/2 ⋮ The quadratic variation for mixed-fractional Brownian motion ⋮ The generalized quadratic covariation for fractional Brownian motion with Hurst index less than 1/2 ⋮ Stochastic quantization and ergodic theorem for density of diffusions ⋮ Large deviations for high minima of Gaussian processes with nonnegatively correlated increments ⋮ On the local times of fractional Ornstein-Uhlenbeck process ⋮ Central limit theorem for weighted local time of \(L^2\) modulus of fractional Brownian motion ⋮ \(p\)-variation of an integral functional driven by fractional Brownian motion ⋮ Covariance of stochastic integrals with respect to fractional Brownian motion ⋮ An integral functional driven by fractional Brownian motion ⋮ Integration with respect to fractional local time with Hurst index \(1/2 < \text H < 1\)

Cites Work

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• Itô's formula with respect to fractional Brownian motion and its application
• Stochastic calculus with respect to fractional Brownian motion with Hurst parameter lesser than 1/2
• A new class of nearly self-financing strategies
• Tanaka formula for the fractional Brownian motion.
• CHAOS EXPANSION OF LOCAL TIME OF FRACTIONAL BROWNIAN MOTIONS
• Stochastic Calculus for Fractional Brownian Motion I. Theory
• Fractional Brownian Motions, Fractional Noises and Applications

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