Remarks on an integral functional driven by sub-fractional Brownian motion

DOI10.1016/J.JKSS.2010.12.004zbMATH Open1237.60030OpenAlexW2141142205MaRDI QIDQ634857FDOQ634857

Authors: Litan Yan, Guangjun Shen 

Publication date: 17 August 2011

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2010.12.004

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zbMATH Keywords

local timeself-intersection local time\(p\)-variationstochastic area integralsSub-fractional Brownian motion

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) Local time and additive functionals (60J55)

Cites Work

• The Malliavin Calculus and Related Topics
• Stochastic calculus with respect to Gaussian processes
• Integration with respect to fractional local time with Hurst index \(1/2 < \text H < 1\)
• Occupation densities
• Sub-fractional Brownian motion and its relation to occupation times
• Title not available (Why is that?)
• Title not available (Why is that?)
• Local time and stochastic area integrals
• Limit theorems for occupation time fluctuations of branching systems. I: long-range dependence
• Some extensions of fractional Brownian motion and sub-fractional Brownian motion related to particle systems
• Some properties of the sub-fractional Brownian motion
• On the Wiener integral with respect to a sub-fractional Brownian motion on an interval
• Inner product spaces of integrands associated to subfractional Brownian motion
• Self-intersection local time of fractional Brownian motions -- via chaos expansion
• On the collision local time of sub-fractional Brownian motions
• Title not available (Why is that?)
• \(p\)-variation of an integral functional driven by fractional Brownian motion

Cited In (16)

• A law of iterated logarithm for the subfractional Brownian motion and an application
• Variations and estimators for self-similarity parameter of sub-fractional Brownian motion via Malliavin calculus
• Least squares estimator for \(\alpha\)-sub-fractional bridges
• Title not available (Why is that?)
• Remarks on asymptotic behavior of weighted quadratic variation of subfractional Brownian motion
• An integral functional driven by fractional Brownian motion
• On the self-intersection local time of subfractional Brownian motion
• Stochastic integration with respect to the sub-fractional Brownian motion with
• \(p\)-variation of an integral functional driven by fractional Brownian motion
• Estimators for the Drift of Subfractional Brownian Motion
• The law of a stochastic integral with respect to subfractional Brownian motions
• Occupation densities for certain processes related to subfractional Brownian motion
• On the convergence to the multiple subfractional Wiener-Itō integral
• An approximation of subfractional Brownian motion
• Approximation of stochastic differential equations driven by subfractional Brownian motion at discrete time observation
• Remarks on sub-fractional Brownian motion

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