Some path properties of weighted-fractional Brownian motion

DOI10.1080/17442508.2013.878345MaRDI QIDQ2811103zbMATH OpenOpenAlexFDO

Authors Litan Yan, Zhi Wang, Huiting Jing

Publication date 10 June 2016

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508.2013.878345

zbMATH Keywords

weighted-fractional Brownian motion\(\alpha\)-strong variationstrong local non-determinismthe collision local time and the iterated logarithm

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Sample path properties (60G17)

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Cites work

• scientific article; zbMATH DE number 1808203 (Why is no real title available?)
• scientific article; zbMATH DE number 614990 (Why is no real title available?)
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• Joint continuity of Gaussian local times
• Occupation time limits of inhomogeneous Poisson systems of independent particles
• Sample path properties of bifractional Brownian motion
• Self-intersection local times and collision local times of bifractional Brownian motions
• Self-similar stable processes arising from high-density limits of occupation times of particle systems
• Small values of Gaussian processes and functional laws of the iterated logarithm
• Some extensions of fractional Brownian motion and sub-fractional Brownian motion related to particle systems
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Cited in

(11)

• A law of iterated logarithm for the subfractional Brownian motion and an application
• The local time of the linear self-attracting diffusion driven by weighted fractional Brownian motion
• On limit theorems of some extensions of fractional Brownian motion and their additive functionals
• The linear self-attracting diffusion driven by the weighted-fractional Brownian motion. II: The parameter estimation
• Small ball probabilities for integrals of weighted Brownian motion
• Central limit theorems and parameter estimation associated with a weighted-fractional Brownian motion
• The quadratic covariation for a weighted fractional Brownian motion
• On the cross-variation of a class of stochastic processes
• Parameter estimation for nonergodic Ornstein-Uhlenbeck process driven by the weighted fractional Brownian motion
• Convergence and parameter estimation of the linear weighted-fractional self-repelling diffusion
• Some singular sample path properties of a multiparameter fractional Brownian motion

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