Inequalities for the L^p norms of integrals with respect to a fractional Brownian motion

DOI10.1016/J.SPL.2005.02.004MaRDI QIDQ2573993zbMATH OpenOpenAlexWikidataFDO

Authors Bartosz Ziemkiewicz, Leszek Slominski

Publication date 25 November 2005

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2005.02.004

zbMATH Keywords

stochastic integral

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic integrals (60H05)

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Cites work

• scientific article; zbMATH DE number 1256059 (Why is no real title available?)
• scientific article; zbMATH DE number 635670 (Why is no real title available?)
• An Itô formula for generalized functionals of a fractional Brownian motion with arbitrary Hurst parameter.
• An inequality of the Hölder type, connected with Stieltjes integration
• Inequalities for the moments of Wiener integrals with respect to a fractional Brownian motion
• Integration with respect to fractal functions and stochastic calculus. I
• On some maximal inequalities for fractional Brownian motions
• Stieltjes integrals of Hölder continuous functions with applications to fractional Brownian motion
• Stochastic Calculus for Fractional Brownian Motion I. Theory
• Stochastic analysis of the fractional Brownian motion
• Stochastic and multiple Wiener integrals for Gaussian processes
• Stochastic integration with respect to the fractional Brownian motion
• The existence and uniqueness of the solution of an integral equation driven by a \(p\)-semimartin\-gale of special type.

Cited in

(10)

• On weak approximations of integrals with respect to fractional Brownian motion
• Weak and strong discrete-time approximation of fractional SDEs
• Baxter's inequality for fractional Brownian motion-type processes with Hurst index less than 1/2
• Maximal inequalities for the iterated fractional integrals
• Approximation of stochastic differential equations driven by subfractional Brownian motion at discrete time observation
• Upper and lower classes for \(\mathbb{L}^ 2\)- and \(\mathbb{L}^ p\)-norms of Brownian motion and norms of \(\alpha\)-stable motion
• Extensions of the sewing lemma with applications
• Estimates for norms of discrete stochastic integrals
• On some maximal and integral inequalities for sub-fractional Brownian motion
• Inequalities for the moments of Wiener integrals with respect to a fractional Brownian motion

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