The quadratic variation for mixed-fractional Brownian motion

DOI10.1186/S13660-016-1254-2zbMATH Open1353.60039OpenAlexW2557803486WikidataQ59467769 ScholiaQ59467769MaRDI QIDQ347449FDOQ347449

Han Gao, Litan Yan, Kun He

Publication date: 30 November 2016

Published in: Journal of Inequalities and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s13660-016-1254-2

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zbMATH Keywords

Malliavin calculuslocal timemixed fractional Brownian motion[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=fractional+It%EF%BF%BD%EF%BF%BD+formula&go=Go fractional It�� formula]

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic calculus of variations and the Malliavin calculus (60H07) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05)

Cites Work

• The Malliavin Calculus and Related Topics
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Cited In (8)

• Berry-Esseen bounds and almost sure CLT for the quadratic variation of the bifractional Brownian motion
• Asymptotic expansion of the quadratic variation of a mixed fractional Brownian motion
• Brownian motion with quadratic killing and some implications
• Asymptotic behavior of weighted quadratic variations of fractional Brownian motion: the critical case \(H=1/4\)
• Title not available (Why is that?)
• A central limit theorem for the generalized quadratic variation of the step fractional Brownian motion
• \(\Phi \)-variation of a bifractional Brownian motion
• Mixed fractional Brownian motion

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