Some Processes Associated with Fractional Bessel Processes
نویسندگان
چکیده
منابع مشابه
Some Processes Associated with Fractional Bessel Processes
Let B = {(B1 t , . . . , Bd t ) , t ≥ 0} be a d-dimensional fractional Brownian motion with Hurst parameter H and let Rt = √ (B1 t ) 2 + · · · + (Bd t )2 be the fractional Bessel process. Itô’s formula for the fractional Brownian motion leads to the equation Rt = ∑d i=1 ∫ t 0 Bi s Rs dBi s + H(d − 1) ∫ t 0 s2H−1 Rs ds . In the Brownian motion case (H = 1/2), Xt = ∑d i=1 ∫ t 0 Bi s Rs dBi s is a...
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ژورنال
عنوان ژورنال: Journal of Theoretical Probability
سال: 2005
ISSN: 0894-9840,1572-9230
DOI: 10.1007/s10959-005-3508-7