Quadratic variations for the fractional-colored stochastic heat equation
نویسندگان
چکیده
منابع مشابه
Quadratic variations for the fractional-colored stochastic heat equation∗
Using multiple stochastic integrals and Malliavin calculus, we analyze the quadratic variations of a class of Gaussian processes that contains the linear stochastic heat equation on R driven by a non-white noise which is fractional Gaussian with respect to the time variable (Hurst parameter H) and has colored spatial covariance of α-Riesz-kernel type. The processes in this class are self-simila...
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ژورنال
عنوان ژورنال: Electronic Journal of Probability
سال: 2014
ISSN: 1083-6489
DOI: 10.1214/ejp.v19-2698