p-variation of an integral functional associated with bi-fractional Brownian motion

DOI10.2298/FIL1306995LMaRDI QIDQ5259486zbMATH OpenOpenAlexFDO

Authors Litan Yan, Junfeng Liu, Donglei Tang

Publication date 26 June 2015

Published in Filomat (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2298/fil1306995l

zbMATH Keywords

bifractional Brownian motionlocal timeself-intersection local time\(p\)-variationstochastic area integrals

Mathematics Subject Classification ID

Gaussian processes (60G15) Local time and additive functionals (60J55)

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(7)

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• Change-of-variable formula for the bi-dimensional fractional Brownian motion in Brownian time
• \(\Phi \)-variation of a bifractional Brownian motion
• On \(p\)-variation of bifractional Brownian motion
• Example of a Dirichlet process whose zero energy part has finite \(p\)-th variation
• Remarks on an integral functional driven by sub-fractional Brownian motion
• The law of a stochastic integral with two independent bifractional Brownian motions

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