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

fractional Brownian motionchaos expansionstochastic integralMelliavin derivative

Mathematics Subject Classification ID

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

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.

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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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