Fractional diffusion Bessel processes with Hurst index H (0, 12)
The authors define the fractional diffusion Bessel process \(X^H\) for \(H < \frac{1}{2}\) as the pointwise limit, as \(\varepsilon\) decreases to zero, of the processes \(Y^\varepsilon\) that satisfy the SDE of the following type (in the integral form) \[ Y_t^\varepsilon=X_0+a\int_0^t\frac{1}{Y_s^\varepsilon I_{Y_s^{\varepsilon}>0}+\varepsilon}ds+\sigma B_t^H, \] where \(X_0,a,\sigma\) are positive constants and \(B^H\) is a fractional Brownian motion with index \(H<\frac{1}{2}.\) They establish that the limiting process is well-defined and study its asymptotic properties. It is shown that the limit \(X_t^H(\omega)\) exists, is nonnegative almost surely and is positive almost everywhere with respect to the Lebesgue measure almost surely. In addition, the trajectories of the process \(X^H\) are continuous almost everywhere on \(R^+\) almost surely. They also study other asymptotic properties of its sample paths.
- Fractional Cox-Ingersoll-Ross process with small Hurst indices
- Some processes associated with fractional Bessel processes
- On the \(\frac{1}{H}\)-variation of the divergence integral with respect to fractional Brownian motion with Hurst parameter \(H < \frac{1}{2}\)
- scientific article; zbMATH DE number 5284401
- Stochastic calculus with respect to fractional Brownian motion with Hurst parameter lesser than 1/2
- A singular stochastic differential equation driven by fractional Brownian motion
- Complements on the Hilbert transform and the fractional derivative of Brownian local times
- Estimation of the Hurst index of the solutions of fractional SDE with locally Lipschitz drift
- Fractional Cox-Ingersoll-Ross process with non-zero ``mean
- Fractional Cox-Ingersoll-Ross process with small Hurst indices
- scientific article; zbMATH DE number 3736754 (Why is no real title available?)
- scientific article; zbMATH DE number 48952 (Why is no real title available?)
- On drift parameter estimation in models with fractional Brownian motion
- On the \(\frac{1}{H}\)-variation of the divergence integral with respect to fractional Brownian motion with Hurst parameter \(H < \frac{1}{2}\)
- Parameter estimation in fractional diffusion models
- Remarks on sub-fractional Bessel processes
- Some processes associated with fractional Bessel processes
- Some properties of bifractional Bessel processes driven by bifractional Brownian motion
- Standard and fractional reflected Ornstein–Uhlenbeck processes as the limits of square roots of Cox–Ingersoll–Ross processes
- The 1/\(H\)-variation of the divergence integral with respect to the fractional Brownian motion for \(H>1/2\) and fractional Bessel processes
- The Bessel motion and a singular integral equation
This page was built for publication: Fractional diffusion Bessel processes with Hurst index \(H \in (0, \frac{1}{2})\)
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6152268)
