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

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)

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Cites work

• scientific article; zbMATH DE number 3809880 (Why is no real title available?)
• scientific article; zbMATH DE number 2149888 (Why is no real title available?)
• scientific article; zbMATH DE number 3416765 (Why is no real title available?)
• Inner product spaces of integrands associated to subfractional Brownian motion
• Integration with respect to fractional local time with Hurst index \(1/2 < \text H < 1\)
• Limit theorems for occupation time fluctuations of branching systems. I: long-range dependence
• Local time and stochastic area integrals
• Occupation densities
• On the Wiener integral with respect to a sub-fractional Brownian motion on an interval
• On the collision local time of sub-fractional Brownian motions
• Self-intersection local time of fractional Brownian motions -- via chaos expansion
• Some extensions of fractional Brownian motion and sub-fractional Brownian motion related to particle systems
• Some properties of the sub-fractional Brownian motion
• Stochastic calculus with respect to Gaussian processes
• Sub-fractional Brownian motion and its relation to occupation times
• The Malliavin Calculus and Related Topics
• \(p\)-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 no real title available?)
• 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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