The generalized quadratic covariation for fractional Brownian motion with Hurst index less than 1/2
DOI10.1142/S0219025714500301zbMath1318.60043arXiv1106.2302OpenAlexW2964088536MaRDI QIDQ2937045
Chao Chen, Litan Yan, Jun-Feng Liu
Publication date: 7 January 2015
Published in: Infinite Dimensional Analysis, Quantum Probability and Related Topics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1106.2302
fractional Brownian motionMalliavin calculuslocal timeHurst indexfractional Itō formulageneralized quadratic covariation
Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)
Related Items (9)
Cites Work
- Selected aspects of fractional Brownian motion.
- Central and non-central limit theorems for weighted power variations of fractional Brownian motion
- Local time rough path for Lévy processes
- Local time and stochastic area integrals
- Power variation of some integral fractional processes
- Milstein's type schemes for fractional SDEs
- Integration with respect to fractional local time with Hurst index \(1/2 < \text H < 1\)
- Power variation for Gaussian processes with stationary increments
- Occupation densities
- Stochastic analysis of the fractional Brownian motion
- Approximation at first and second order of {\(m\)}-order integrals of the fractional {B}rownian motion and of certain semimartingales
- Integration with respect to local time
- Tanaka formula for the fractional Brownian motion.
- Quadratic covariation and an extension of Itô's formula
- Ito formula for \(C^ 1\)-functions of semimartingales
- Stochastic calculus for fractional Brownian motion and related processes.
- Some remarks on local time-space calculus
- \(m\)-order integrals and generalized Itô's formula; the case of a fractional Brownian motion with any Hurst index
- Local time-space stochastic calculus for Lévy processes
- Two-parameter \(p,q\)-variation paths and integrations of local times
- Asymptotic behavior of weighted quadratic and cubic variations of fractional Brownian motion
- Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter \(H \in (0,\frac {1}{2})\)
- \(n\)-covariation, generalized Dirichlet processes and calculus with respect to finite cubic variation processes.
- A change-of-variable formula with local time on curves
- The Malliavin Calculus and Related Topics
- Stochastic calculus with respect to continuous finite quadratic variation processes
- Weighted Local Time for Fractional Brownian Motion and Applications to Finance
- Stochastic calculus with respect to Gaussian processes
- Quadratic covariation and Itô's formula for smooth nondegenerate martingales
This page was built for publication: The generalized quadratic covariation for fractional Brownian motion with Hurst index less than 1/2