Covariance of stochastic integrals with respect to fractional Brownian motion

被引：1

作者：

Maayan, Yohai ^{[1
]}

Mayer-Wolf, Eddy ^{[1
]}

机构：

[1] Technion Israel Inst Technol, Dept Math, IL-32000 Haifa, Israel

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2018年 / 128卷 / 05期

关键词：

Fractional Brownian motion; Divergence integral; Stochastic integral; Fractional Bessel process; BESSEL PROCESSES;

D O I：

10.1016/j.spa.2017.08.006

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We find an explicit expression for the cross-covariance between stochastic integral processes with respect to a d-dimensional fractional Brownian motion (fBm) B-t with Hurst parameter H > 1/2 , where the integrands are vector fields applied to B-t. It provides, for example, a direct alternative proof of Y. Hu and D. Nualart's result that the stochastic integral component in the fractional Bessel process decomposition is not itself a fractional Brownian motion. (C) 2017 Elsevier B.V. All rights reserved.

引用

页码：1635 / 1651

页数：17

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