Inner product spaces of integrands associated to subfractional Brownian motion

DOI10.1016/J.SPL.2008.01.087MaRDI QIDQ730735zbMATH OpenOpenAlexFDO

Authors Constantin Tudor

Publication date 30 September 2009

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2008.01.087

Mathematics Subject Classification ID

Probability theory on linear topological spaces (60B11) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05)

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Cites work

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• scientific article; zbMATH DE number 438987 (Why is no real title available?)
• scientific article; zbMATH DE number 4102352 (Why is no real title available?)
• scientific article; zbMATH DE number 3306391 (Why is no real title available?)
• scientific article; zbMATH DE number 3187905 (Why is no real title available?)
• scientific article; zbMATH DE number 3036575 (Why is no real title available?)
• Integration questions related to fractional Brownian motion
• Limit theorems for occupation time fluctuations of branching systems. I: long-range dependence
• On the Wiener integral with respect to the fractional Brownian motion on an interval
• Some properties of the sub-fractional Brownian motion
• Sub-fractional Brownian motion and its relation to occupation times
• The Wiener integral with respect to second order processes with stationary increments

Cited in

(28)

• Integration questions related to fractional Brownian motion
• Are classes of deterministic integrands for fractional Brownian motion on an interval complete?
• Parametric estimation in the Vasicek-type model driven by sub-fractional Brownian motion
• The structure of autocovariance matrix of discrete time subfractional Brownian motion
• Nonparametric regression with subfractional Brownian motion via Malliavin calculus
• On the self-intersection local time of subfractional Brownian motion
• Support of the Brown measure of the product of a free unitary Brownian motion by a free self-adjoint projection
• The \(\mathcal S\)-transform of sub-fBm and an application to a class of linear subfractional BSDEs
• On the collision local time of sub-fractional Brownian motions
• On the Wiener integral with respect to a sub-fractional Brownian motion on an interval
• Stochastic integration for tempered fractional Brownian motion
• Remarks on confidence intervals for self-similarity parameter of a subfractional Brownian motion
• Stochastic integration with respect to the sub-fractional Brownian motion with
• Products of constant curvature spaces with a Brownian independence property
• On the convergence to the multiple subfractional Wiener-Itō integral
• Remarks on asymptotic behavior of weighted quadratic variation of subfractional Brownian motion
• Variations and estimators for self-similarity parameter of sub-fractional Brownian motion via Malliavin calculus
• Stochastic integral for non-adapted processes related to sub-fractional Brownian motion when \(H>\frac{1}{2}\)
• Approximation of stochastic differential equations driven by subfractional Brownian motion at discrete time observation
• Berry-Esséen bounds and almost sure CLT for the quadratic variation of the sub-fractional Brownian motion
• On the local time of sub-fractional Brownian motion
• An approximate approach to fuzzy stochastic differential equations under sub-fractional Brownian motion
• Remarks on an integral functional driven by sub-fractional Brownian motion
• On the Wiener integral with respect to the fractional Brownian motion
• Stochastic delay evolution equations driven by sub-fractional Brownian motion
• On the Wiener integral with respect to the fractional Brownian motion on an interval
• The Wiener integral with respect to second order processes with stationary increments
• Weak convergence towards two independent Gaussian processes from a unique Poisson process

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