Some processes associated with fractional Bessel processes

DOI10.1007/S10959-005-3508-7MaRDI QIDQ1780930zbMATH OpenOpenAlexFDO

Authors David Nualart, Yaozhong Hu

Publication date 14 June 2005

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0402019

zbMATH Keywords

chaos expansionfractional Brownian motionMelliavin derivativestochastic integral

Mathematics Subject Classification ID

Gaussian processes (60G15) Self-similar stochastic processes (60G18) Stochastic calculus of variations and the Malliavin calculus (60H07)

Abstract: Let $B=(B_t^1,\mathrm{...},B_t^d),tgeq0$ be a $d$-dimensional fractional Brownian motion with Hurst parameter $H$ and let $R_t=\mathrm{\%}sqrt(B_t^1{)}^2+\mathrm{...}+(B_t^d{)}^2$ be the fractional Bessel process. It^{o}'s formula for the fractional Brownian motion leads to the equation $R_t=su{m}_{i=1}^{d}in{t}_0^{t}frac{B}_s^i{R}_s\mathrm{\%}d{B}_s^i+H(d-1)in{t}_0^{t}frac{s}^{2H-1}{R}_{s}ds.$ In the Brownian motion case ($H=1/2$), $X_t=su{m}_{i=1}^{d}in{t}_0^{t}frac{B}_s^i\mathrm{\%}{R}_{s}d{B}_s^i$ is a Brownian motion. In this paper it is shown that $X_t$ is underbar{not} a fractional Brownian motion if $Hot=1/2$. We will study some other properties of this stochastic process as well.

Review text

Let \(B=\{ B_{t}^{\left( i\right) },~1\leq i\leq d,~\;t\geq 0\} \) be a \(d\)-dimensional fractional Brownian motion with the Hurst parameter \( 0<H<1.\) The Itô formula for the fractional Bessel process \[ R_{t}=\sqrt{ \left( B_{t}^{1}\right) ^{2}+\cdots +\left( B_{t}^{d}\right) ^{2}} \] yields the equation \[ R_{t}=\sum_{i=1}^{d}\;\frac{B_{s}^{i}}{R_{s}}dB_{s}^{i}+H\left( d-1\right) \int\limits_{0}^{t}\frac{s^{2H-1}}{R_{s}}ds \] and for \(d=1\) \[ \left| B_{t}\right| =\int\limits_{0}^{t}\text{sign}\left( B_{s}\right) dBs+H\int\limits_{0}^{t}\delta _{0}\left( B_{s}\right) s^{2H-1}ds. \] The approach based on the Wiener extension makes it possible to prove that, if \(H\neq \frac{1}{2}\), then the process \(X_{t}=\sum_{i=1}^{d}(B_{s}^{i}/R_{s})dB_{s}^{i},~d\geq 1,\) is not the fractional Brownian motion. The process \(X_{t}\) has Hőlder continuous paths of order \(\alpha <H.\) For \(H>\frac{1}{2}\), its \(\frac{1}{H}\)-variation is finite and the process is long-range dependent only if \(H> \frac{2}{3}.\)

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Cites work

• CHAOS EXPANSION OF LOCAL TIME OF FRACTIONAL BROWNIAN MOTIONS
• Stochastic Calculus for Fractional Brownian Motion I. Theory
• Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter \(H \in (0,\frac {1}{2})\)
• Tanaka formula for the fractional Brownian motion.
• The 1/\(H\)-variation of the divergence integral with respect to the fractional Brownian motion for \(H>1/2\) and fractional Bessel processes

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• Itô's- and Tanaka's-type formulae for the stochastic heat equation: The linear case
• Malliavin calculus and self normalized sums
• scientific article; zbMATH DE number 5284401 (Why is no real title available?)
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• Remarks on sub-fractional Bessel processes
• Stochastic analysis of fractional Riesz-Bessel motion
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• Fractional diffusion Bessel processes with Hurst index \(H \in (0, \frac{1}{2})\)
• An integral representation of the local time of the Brownian motion via the Clark-Ocone formula
• A singular stochastic differential equation driven by fractional Brownian motion
• On the eigenvalue process of a matrix fractional Brownian motion

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