Fractional martingales and characterization of the fractional Brownian motion

DOI10.1214/09-AOP464zbMath1196.60075arXiv0711.1313MaRDI QIDQ971945

Yaozhong Hu, David Nualart, Jian Song

Publication date: 17 May 2010

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0711.1313

zbMATH Keywords

fractional Brownian motion; local martingale; \(\beta\)-variation; fractional martingale; Lévy's characterization theorem

Mathematics Subject Classification ID

60G22: Fractional processes, including fractional Brownian motion

60J65: Brownian motion

60G44: Martingales with continuous parameter

26A45: Functions of bounded variation, generalizations

Related Items

Unnamed Item, Optimal Sequential Change Detection for Fractional Diffusion-Type Processes, Deviation probability bounds for fractional martingales and related remarks, The \(\frac{4}{3}\)-variation of the derivative of the self-intersection Brownian local time and related processes, On the eigenvalue process of a matrix fractional Brownian motion, On nested infinite occupancy scheme in random environment, On integration by parts formula and characterization of fractional Ornstein-Uhlenbeck process, Intermittency for the stochastic heat equation driven by a rough time fractional Gaussian noise, A note on Riemann-Liouville processes, Recent advances on eigenvalues of matrix-valued stochastic processes, An extension of the Lévy characterization to fractional Brownian motion, Nonparametric inference for fractional diffusion, Nonlinearity of the volume-volatility correlation filtered through the pointwise Hurst-Hölder regularity, Gaussian and non-Gaussian processes of zero power variation, Stationarity and control of a tandem fluid network with fractional Brownian motion input, Interacting particle systems in time-dependent geometries

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Occupation densities
• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• An extension of the Lévy characterization to fractional Brownian motion
• Integral transformations and anticipative calculus for fractional Brownian motions
• Arbitrage with Fractional Brownian Motion
• Fractional Brownian Motions, Fractional Noises and Applications