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An integral functional driven by fractional Brownian motion

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Listed:
  • Sun, Xichao
  • Yan, Litan
  • Yu, Xianye

Abstract

Let BH be a fractional Brownian motion with Hurst index 0

Suggested Citation

  • Sun, Xichao & Yan, Litan & Yu, Xianye, 2019. "An integral functional driven by fractional Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 129(7), pages 2249-2285.
    • Handle: RePEc:eee:spapps:v:129:y:2019:i:7:p:2249-2285
    DOI: 10.1016/j.spa.2018.07.004
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    References listed on IDEAS

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    1. Coutin, Laure & Nualart, David & Tudor, Ciprian A., 2001. "Tanaka formula for the fractional Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 94(2), pages 301-315, August.
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