p-variation of an integral functional driven by fractional Brownian motion

DOI10.1016/J.SPL.2007.11.008zbMATH Open1140.60317OpenAlexW2089030461MaRDI QIDQ930091FDOQ930091

Authors: Litan Yan, Xiangfeng Yang, Yunsheng Lu 

Publication date: 19 June 2008

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

Full work available at URL: https://doi.org/10.1016/j.spl.2007.11.008

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• Quasi-sure \(p\)-variation of fractional Brownian motion

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic integrals (60H05) Local time and additive functionals (60J55)

Cites Work

• The Malliavin Calculus and Related Topics
• FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
• Integral transformations and anticipative calculus for fractional Brownian motions
• Tanaka formula for the fractional Brownian motion.
• Weighted Local Time for Fractional Brownian Motion and Applications to Finance
• Title not available (Why is that?)
• Local time and stochastic area integrals
• An introduction to white–noise theory and Malliavin calculus for fractional Brownian motion
• Self-intersection local time of fractional Brownian motions -- via chaos expansion
• Renormalized self-intersection local time for fractional Brownian motion
• Title not available (Why is that?)

Cited In (24)

• Derivative for self-intersection local time of multidimensional fractional Brownian motion
• Higher-order derivative of self-intersection local time for fractional Brownian motion
• On the Tanaka formula for the derivative of self-intersection local time of fractional Brownian motion
• On \(p\)-variation of bifractional Brownian motion
• An integral functional driven by fractional Brownian motion
• Quasi-sure \(p\)-variation of fractional Brownian motion
• Limits for weighted \(p\)-variations and likewise functionals of fractional diffusions with drift
• Remarks on an integral functional driven by sub-fractional Brownian motion
• Hausdorff-Besicovitch dimension of graphs and \(p\)-variation
• Limit theorem for self-intersection local time derivative of multidimensional fractional Brownian motion
• Hölder continuity and occupation-time formulas for fBm self-intersection local time and its derivative
• On some additive functionals of fractional Brownian motion as a doubly indexed process
• Integration with respect to fractional local time with Hurst index \(1/2 < \text H < 1\)
• Example of a Dirichlet process whose zero energy part has finite \(p\)-th variation
• The derivative of the intersection local time of Brownian motion through Wiener chaos
• Equivalent martingale measures and no-arbitrage
• The generalized quadratic covariation for fractional Brownian motion with Hurst index less than \(1/2\)
• Derivative of multiple self-intersection local time for fractional Brownian motion
• Quasi Surep-Variation of Fractional Brownian Sheet
• Derivatives of sup-functionals of fractional Brownian motion evaluated at \(H=\frac{1}{2}\)
• Asymptotic properties for \(q\)-th chaotic component of derivative of self-intersection local time of fractional Brownian motion
• Derivative of intersection local time of independent symmetric stable motions
• Smoothness of higher order derivative of self-intersection local time for fractional Brownian motion
• Derivative for the intersection local time of two independent fractional Brownian motions

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