Occupation densities for certain processes related to subfractional Brownian motion
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Publication:890269
DOI10.1214/14-BJPS243zbMath1334.60056MaRDI QIDQ890269
Ibrahima Mendy, Ibrahim Dakaou
Publication date: 10 November 2015
Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.bjps/1442513443
Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)
Cites Work
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- A series expansion of fractional Brownian motion
- Occupation densities
- Integration by parts on Wiener space and the existence of occupation densities
- Sub-fractional Brownian motion and its relation to occupation times
- The Malliavin Calculus and Related Topics
- Occupation densities for certain processes related to fractional Brownian motion
- Stochastic integration with respect to the fractional Brownian motion
- Markov Processes, Gaussian Processes, and Local Times