REMARKS ON SUB-FRACTIONAL BESSEL PROCESSES

被引：0
作者：
Shen Guangjun [1 ,2 ]
Chen Chao [1 ]
Yam Litan [3 ]
机构：
[1] E China Univ Sci & Technol, Dept Math, Shanghai 200237, Peoples R China
[2] Anhui Normal Univ, Dept Math, Wuhu 241000, Peoples R China
[3] Donghua Univ, Dept Math, Shanghai 201620, Peoples R China
来源：
ACTA MATHEMATICA SCIENTIA | 2011年 / 31卷 / 05期
关键词：
sub-fractional Brownian motion; Malliavin calculus; sub-fractional Bessel processes; chaos expansion; BROWNIAN-MOTION; RESPECT; TIME;
D O I：
暂无
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
Let S = {(S-t(1), ..., S-t(d))}t >= 0 denote a d-dimensional sub-fractional Brownian motion with index H >= 1/2. In this paper we study some properties of the process X of the form X-t :=Sigma(d)(i=1) integral(t)(0) S-s(i)/R(s)dS(s)(i), d >= 1, where R-t = root(s(t)(1))(2) + ... + (s(t)(d))(2) is the sub-fractional Bessel process.
引用
收藏
页码：1860 / 1876
页数：17
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