Some extensions of fractional Brownian motion and sub-fractional Brownian motion related to particle systems

From MaRDI portal
Publication:2461022

DOI10.1214/ECP.v12-1272zbMath1128.60025arXivmath/0702708OpenAlexW1994871313MaRDI QIDQ2461022

Anna Talarczyk, Tomasz Bojdecki, Louis G. Gorostiza

Publication date: 19 November 2007

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0702708




Related Items (50)

A law of iterated logarithm for the subfractional Brownian motion and an applicationArbitrage with fractional Gaussian processesSingularity of Subfractional Brownian Motions with Different Hurst IndicesUnnamed ItemLeast squares estimation for non-ergodic weighted fractional Ornstein-Uhlenbeck process of general parametersUnnamed ItemLeast squares estimation for the drift parameters in the sub-fractional Vasicek processesThe Lower Classes of the Sub-Fractional Brownian MotionPricing of perpetual American put option with sub-mixed fractional Brownian motionOscillatory fractional Brownian motionCentral limit theorems and parameter estimation associated with a weighted-fractional Brownian motionOn the local time of sub-fractional Brownian motionRemarks on confidence intervals for self-similarity parameter of a subfractional Brownian motionOn the self-intersection local time of subfractional Brownian motionStochastic integration with respect to the sub-fractional Brownian motion withParticle picture interpretation of some Gaussian processes related to fractional Brownian motionRemarks on an integral functional driven by sub-fractional Brownian motionParameter estimation for nonergodic Ornstein-Uhlenbeck process driven by the weighted fractional Brownian motionParametric estimation in the Vasicek-type model driven by sub-fractional Brownian motionOn limit theorems of some extensions of fractional Brownian motion and their additive functionalsThe generalized Bouleau-Yor identity for a sub-fractional Brownian motionOn the convergence to the multiple subfractional Wiener-Itō integralExtension of positive definite functionsRemarks on asymptotic behavior of weighted quadratic variation of subfractional Brownian motionNonparametric regression with subfractional Brownian motion via Malliavin calculusOccupation time limits of inhomogeneous Poisson systems of independent particlesSelf-similar stable processes arising from high-density limits of occupation times of particle systemsThe \(\mathcal S\)-transform of sub-fBm and an application to a class of linear subfractional BSDEsThe Lamperti Transforms of Self-Similar Gaussian Processes and Their ExponentialsImpulsive fractional stochastic differential inclusions driven by sub-Fractional Brownian motion with infinite delay and sectorial operatorsEstimators for the Drift of Subfractional Brownian MotionAn Approximation of Subfractional Brownian MotionWeak convergence towards two independent Gaussian processes from a unique Poisson processOn the collision local time of sub-fractional Brownian motionsBifractional Brownian motion: existence and border casesBifractional Brownian motion for \(H>1\) and \(2HK\leq 1\)Occupation times of subcritical branching immigration systems with Markov motionsConditions for singularity for measures generated by two fractional psuedo-diffusion processesStochastic delay evolution equations driven by sub-fractional Brownian motionSome path properties of weighted-fractional Brownian motionVariations and estimators for self-similarity parameter of sub-fractional Brownian motion via Malliavin calculusStatistical inference for nonergodic weighted fractional Vasicek modelsOCCUPATION TIME FLUCTUATION LIMITS OF INFINITE VARIANCE EQUILIBRIUM BRANCHING SYSTEMSUnnamed ItemSmall-time asymptotics for Gaussian self-similar stochastic volatility modelsOn the weak convergence of super-Brownian motion with immigrationA generalisation of the fractional Brownian field based on non-Euclidean normsThe quadratic covariation for a weighted fractional Brownian motionApproximation of stochastic differential equations driven by subfractional Brownian motion at discrete time observationOn the Besov regularity of the bifractional Brownian motion




This page was built for publication: Some extensions of fractional Brownian motion and sub-fractional Brownian motion related to particle systems