The quadratic variation for mixed-fractional Brownian motion

DOI10.1186/s13660-016-1254-2zbMath1353.60039OpenAlexW2557803486WikidataQ59467769 ScholiaQ59467769MaRDI QIDQ347449

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

zbMATH Keywords

Malliavin calculuslocal timemixed fractional Brownian motionfractional Itô formula

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)

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