Chaotic expansion and smoothness of some functionals of the fractional Brownian motion

DOI10.1215/KJM/1250283731zbMATH Open1065.60113OpenAlexW1519343533MaRDI QIDQ1890282FDOQ1890282

Authors: Josep Vives, M'hamed Eddahbi 

Publication date: 29 December 2004

Published in: Journal of Mathematics of Kyoto University (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1215/kjm/1250283731

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zbMATH Keywords

expansionWiener chaosfractional Brownian sheet

Mathematics Subject Classification ID

Gaussian processes (60G15) Brownian motion (60J65) Self-similar stochastic processes (60G18)

Cited In (13)

• On limit theorems of some extensions of fractional Brownian motion and their additive functionals
• An integral functional driven by fractional Brownian motion
• CHAOS EXPANSION OF LOCAL TIME OF FRACTIONAL BROWNIAN MOTIONS
• The fractional derivative for fractional Brownian local time with Hurst index large than 1/2
• Order estimate of functionals related to fractional Brownian motion
• Higher-order derivative of local times for space-time anisotropic Gaussian random fields
• Smoothness of local times and self-intersection local times of Gaussian random fields
• Title not available (Why is that?)
• Continuity in law of some additive functionals of bifractional Brownian motion
• Derivative of multiple self-intersection local time for fractional Brownian motion
• Occupation time problem for multifractional Brownian motion
• Smoothness of self-intersection local time of multidimensional fractional Brownian motion
• Smoothness of higher order derivative of self-intersection local time for fractional Brownian motion

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