On the \(\frac{1}{H}\)-variation of the divergence integral with respect to fractional Brownian motion with Hurst parameter \(H < \frac{1}{2}\)

DOI10.1016/j.spa.2015.06.001zbMath1322.60078arXiv1501.06986OpenAlexW1644860109MaRDI QIDQ491179

David Nualart, El Hassan Es-Saky

Publication date: 24 August 2015

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1501.06986

zbMATH Keywords

fractional Brownian motionMalliavin calculusSkorokhod integraldivergence integralfractional Bessel process

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Self-similar stochastic processes (60G18)

Related Items (4)

Drift parameter estimation for nonlinear stochastic differential equations driven by fractional Brownian motion ⋮ Fractional diffusion Bessel processes with Hurst index \(H \in (0, \frac{1}{2})\) ⋮ Stochastic elastic equation driven by multiplicative multi-parameter fractional noise ⋮ Bilinear equations in Hilbert space driven by paths of low regularity

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