Some processes associated with fractional Bessel processes
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Publication:1780930
DOI10.1007/s10959-005-3508-7zbMath1074.60050arXivmath/0402019OpenAlexW1978261286MaRDI QIDQ1780930
Publication date: 14 June 2005
Published in: Journal of Theoretical Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0402019
Gaussian processes (60G15) Stochastic calculus of variations and the Malliavin calculus (60H07) Self-similar stochastic processes (60G18)
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Cites Work
- Tanaka formula for the fractional Brownian motion.
- 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
- Stochastic Calculus for Fractional Brownian Motion I. Theory
