The 1/H-variation of the divergence integral with respect to the fractional Brownian motion for H>1/2 and fractional Bessel processes
Stochastic processes used to model the input of a real system are often supposed to be Markovian, but for some important applications in finance, telecommunication networks, biology etc. it is required that the underlying process satisfies the long-range dependence criterion; this means that the behavior of the process after a time \(t\) depends not only on the situation at time \(t\) but also on the previous history of the process. The essential feature that makes the fractional Brownian motion (fBm) an appropriate model for many applications is the fact that fBm is \(H\)-self-similar (\(H \in (0,1)\)) Gaussian process whose increments are stationary and exhibit long-range dependence. The authors consider the stochastic integral with respect to fBm in the case \(\frac{1}{2} <H<1,\) as defined in the framework of Malliavin calculus. In particular, they consider the divergence integral \(\int_0^t u_s \delta B_s,\) as defined by \textit{E. Alòs} and \textit{D. Nualart} [Stochastics Stochastics Rep. 75, 129--152 (2002; Zbl 1028.60048)]. The main result is that the \(\frac{1}{H}\)-variation of the divergence integral \(\int_0^{\cdot} u_s \delta B_s\) on a time interval \([0,T]\) is equal to \(C_H \int_0^T | u_s| ^{1/H} \,ds,\) where \(C_H\) is a constant depending on \(H.\) As an application, they discuss the \(\frac{1}{H}\)-variation properties of a particular representation of Bessel processes with respect to fBm.
- On the \(\frac{1}{H}\)-variation of the divergence integral with respect to fractional Brownian motion with Hurst parameter \(H < \frac{1}{2}\)
- scientific article; zbMATH DE number 5239376
- Stochastic calculus with respect to fractional Brownian motion
- Besov regularity of stochastic integrals with respect to the fractional Brownian motion with parameter \(H>1/2\)
- Itô formula for the two-parameter fractional Brownian motion using the extended divergence operator
- Fractional Brownian motion: theory and applications
- Stochastic analysis of the fractional Brownian motion
- Fractional Brownian motion: stochastic calculus and applications
- Discrete approximation of stochastic integrals with respect to fractional Brownian motion of Hurst indexH>1/2
- scientific article; zbMATH DE number 860010
- An inequality of the Hölder type, connected with Stieltjes integration
- Arbitrage with Fractional Brownian Motion
- BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
- Forward, backward and symmetric stochastic integration
- Fractional Brownian motion: theory and applications
- Fractional Brownian Motions, Fractional Noises and Applications
- FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
- Hedging options in market models modulated by the fractional Brownian motion
- scientific article; zbMATH DE number 438987 (Why is no real title available?)
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- scientific article; zbMATH DE number 785439 (Why is no real title available?)
- scientific article; zbMATH DE number 835835 (Why is no real title available?)
- scientific article; zbMATH DE number 3245885 (Why is no real title available?)
- scientific article; zbMATH DE number 3084672 (Why is no real title available?)
- Integration questions related to fractional Brownian motion
- Integration with respect to fractal functions and stochastic calculus. I
- Itô's formula with respect to fractional Brownian motion and its application
- Mixed fractional Brownian motion
- Stieltjes integrals of Hölder continuous functions with applications to fractional Brownian motion
- Stochastic analysis of fractional brownian motions
- Stochastic analysis of the fractional Brownian motion
- Stochastic Calculus for Fractional Brownian Motion I. Theory
- Stochastic calculus with respect to Gaussian processes
- Stochastic integration with respect to fractional Brownian motion
- Stochastic integration with respect to the fractional Brownian motion
- The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for a large class of stochastic processes
- On weak approximations of integrals with respect to fractional Brownian motion
- Besov regularity of stochastic integrals with respect to the fractional Brownian motion with parameter \(H>1/2\)
- Covariance of stochastic integrals with respect to fractional Brownian motion
- Some processes associated with fractional Bessel processes
- Bilinear equations in Hilbert space driven by paths of low regularity
- Some properties of bifractional Bessel processes driven by bifractional Brownian motion
- Power variation of multiple fractional integrals
- Stochastic derivatives for fractional diffusions
- Stochastic calculus with respect to fractional Brownian motion
- An extension of the divergence operator for Gaussian processes
- Notes on the two-dimensional fractional Brownian motion
- Itô's- and Tanaka's-type formulae for the stochastic heat equation: The linear case
- Differentiability of fractional integrals whose kernels contain fractional Brownian motion
- The stochastic integral with respect to the sub-fractional Brownian motion with \(H > \frac12\)
- A Remark on the 1/H-Variation of the Fractional Brownian Motion
- Integral representation with respect to fractional Brownian motion under a log-Hölder assumption
- Subtle noise structures as control signals in high-order biocognition
- 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 \(H < \frac{1}{2}\)
- Some properties of the sub-fractional Brownian motion
- Power variation analysis of some integral long-memory processes
- Fractional diffusion Bessel processes with Hurst index \(H \in (0, \frac{1}{2})\)
- Example of a Dirichlet process whose zero energy part has finite \(p\)-th variation
- On the 1/H-variation of the divergence integral with respect to a Hermite process
- Multi-dimensional fractional Brownian motion in the G-setting
- Temporal increments of the KPZ equation with general initial data
- A singular stochastic differential equation driven by fractional Brownian motion
- On the eigenvalue process of a matrix fractional Brownian motion
- \(p\)-variation of an integral functional driven by fractional Brownian motion
This page was built for publication: The 1/\(H\)-variation of the divergence integral with respect to the fractional Brownian motion for \(H>1/2\) and fractional Bessel processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2485819)
