Gaussian Volterra processes with power-type kernels. I

DOI10.15559/22-VMSTA205MaRDI QIDQ2172945zbMATH OpenOpenAlexFDO

Authors S. V. Shklyar, Yuliya S. Mishura

Publication date 19 September 2022

Published in Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.15559/22-vmsta205

zbMATH Keywords

fractional Brownian motionGaussian Volterra processesHölder continuityquasi-helix property

Mathematics Subject Classification ID

Gaussian processes (60G15) Sample path properties (60G17) Self-similar stochastic processes (60G18) Fractional processes, including fractional Brownian motion (60G22)

Review text

The authors study the asymptotic properties of the variances and bounds for the variances of the increments of the following process: \[ X_t=\int_0^ts^{\alpha}(\int_s^tu^{\beta}(u-s)^{\gamma}du)dW_s, \] where \(W_t\) is a standard Wiener process, \(\alpha>-1/2, \gamma>-1, \alpha+\beta+\gamma>-3/2.\) It was also proved that the process \(X_t\) satisfies the single-point Hölder condition up to certain order that depends on those three parameters, \(\alpha,\beta,\gamma.\)

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Cites work

• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• scientific article; zbMATH DE number 1808203 (Why is no real title available?)
• Necessary and sufficient conditions for Hölder continuity of Gaussian processes
• Stochastic analysis of Gaussian processes via Fredholm representation
• Stochastic analysis of mixed fractional Gaussian processes
• Stochastic calculus for fractional Brownian motion and related processes.
• Stochastic calculus with respect to Gaussian processes

Cited in

(8)

• Power variation for Gaussian processes with stationary increments
• Gaussian Volterra processes with power-type kernels. II
• Path properties of kernel generated two-time parameter Gaussian processes
• Gaussian Volterra processes: Asymptotic growth and statistical estimation
• On the Gaussian Volterra processes with power-type kernels
• Combinatorial approach to the calculation of projection coefficients for the simplest Gaussian-Volterra process
• On nth-order fractional Brownian motion
• On the increments of some extensions of the fractional Brownian motion

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