Some processes associated with fractional Bessel processes

DOI10.1007/S10959-005-3508-7zbMATH Open1074.60050arXivmath/0402019OpenAlexW1978261286MaRDI QIDQ1780930FDOQ1780930

Authors: David Nualart, Yaozhong Hu 

Publication date: 14 June 2005

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Abstract: Let $B=(B_t^1,\mathrm{...},B_t^d),tgeq0$ be a $d$-dimensional fractional Brownian motion with Hurst parameter $H$ and let $R_t=\mathrm{\%}sqrt(B_t^1{)}^2+\mathrm{...}+(B_t^d{)}^2$ be the fractional Bessel process. It^{o}'s formula for the fractional Brownian motion leads to the equation $R_t=su{m}_{i=1}^{d}in{t}_0^{t}frac{B}_s^i{R}_s\mathrm{\%}d{B}_s^i+H(d-1)in{t}_0^{t}frac{s}^{2H-1}{R}_{s}ds.$ In the Brownian motion case ($H=1/2$), $X_t=su{m}_{i=1}^{d}in{t}_0^{t}frac{B}_s^i\mathrm{\%}{R}_{s}d{B}_s^i$ is a Brownian motion. In this paper it is shown that $X_t$ is underbar{not} a fractional Brownian motion if $Hot=1/2$. We will study some other properties of this stochastic process as well.

Full work available at URL: https://arxiv.org/abs/math/0402019

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zbMATH Keywords

fractional Brownian motionchaos expansionstochastic integralMelliavin derivative

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic calculus of variations and the Malliavin calculus (60H07) Self-similar stochastic processes (60G18)

Cites Work

• Tanaka formula for the fractional Brownian motion.
• Stochastic Calculus for Fractional Brownian Motion I. Theory
• The 1/\(H\)-variation of the divergence integral with respect to the fractional Brownian motion for \(H>1/2\) and fractional Bessel processes
• Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter \(H \in (0,\frac {1}{2})\)
• CHAOS EXPANSION OF LOCAL TIME OF FRACTIONAL BROWNIAN MOTIONS

Cited In (14)

• Some properties of bifractional Bessel processes driven by bifractional Brownian motion
• Malliavin calculus and self normalized sums
• Fractional diffusion Bessel processes with Hurst index \(H \in (0, \frac{1}{2})\)
• Stochastic calculus with respect to fractional Brownian motion
• Remarks on sub-fractional Bessel processes
• Covariance of stochastic integrals with respect to fractional Brownian motion
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• A singular stochastic differential equation driven by fractional Brownian motion
• Itô's- and Tanaka's-type formulae for the stochastic heat equation: The linear case
• Title not available (Why is that?)
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• On the eigenvalue process of a matrix fractional Brownian motion
• Stochastic analysis of fractional Riesz-Bessel motion
• On the \(\frac{1}{H}\)-variation of the divergence integral with respect to fractional Brownian motion with Hurst parameter \(H < \frac{1}{2}\)

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