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
收藏
页码：1635 / 1651
页数：17
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