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

zbMATH Keywords

fractional Brownian motionMalliavin calculuslocal timeHurst indexfractional Itō formulageneralized quadratic covariation

Mathematics Subject Classification ID

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)

The fractional derivative for fractional Brownian local time with Hurst index large than 1/2 ⋮ The quadratic variation for mixed-fractional Brownian motion ⋮ Derivative for the intersection local time of two independent fractional Brownian motions ⋮ An integral functional driven by fractional Brownian motion ⋮ Derivative for self-intersection local time of multidimensional fractional Brownian motion ⋮ Temporal variation for fractional heat equations with additive white noise ⋮ Forward and symmetric Wick-Itô integrals with respect to fractional Brownian motion ⋮ Quadratic covariations for the solution to a stochastic heat equation with space-time white noise ⋮ The quadratic covariation for a weighted fractional Brownian motion

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