Some properties of bifractional Bessel processes driven by bifractional Brownian motion (Q2209684)

Summary: Let \((B = \left\{ \left( B_t^1, \ldots, B_t^d\right)\right\}_{t \geq 0})\) be a \(d\)-dimensional bifractional Brownian motion and \(R_t=\sqrt{ \left( B_t^1\right)^2 + \cdots + \left( B_t^d\right)^2}\) be the bifractional Bessel process with the index \(\left( 2 \mathrm{HK} \geq 1\right)\). The Itô formula for the bifractional Brownian motion leads to the equation \((R_t = \sum_{i = 1}^d \int_0^t \left( B_s^i / R_s\right) \mathrm{d} B_s^i + \mathrm{HK} \left( d - 1\right) \int_0^t \left( s^{2 \mathrm{HK} - 1} / R_s\right) \mathrm{d} s)\). In the Brownian motion case \(\left( K = 1\right)\) and \((H = \left( 1 / 2\right))\), \((X_t := \sum_{i = 1}^d \int_0^t \left( B_s^i / R_s\right) \mathrm{d} B_s^i, d \geq 1)\) is a Brownian motion by Lévy's characterization theorem. In this paper, we prove that process \(X_t\) is not a bifractional Brownian motion unless \(\left( K = 1\right)\) and \(\left( H = \left( 1 / 2\right)\right)\). We also study some other properties and their application of this stochastic process.