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On the Linear Fractional Self-attracting Diffusion

Author

Listed:
  • Litan Yan

    (Donghua University)

  • Yu Sun

    (Donghua University)

  • Yunsheng Lu

    (Donghua University)

Abstract

In this paper, we introduce the linear fractional self-attracting diffusion driven by a fractional Brownian motion with Hurst index 1/2

Suggested Citation

  • Litan Yan & Yu Sun & Yunsheng Lu, 2008. "On the Linear Fractional Self-attracting Diffusion," Journal of Theoretical Probability, Springer, vol. 21(2), pages 502-516, June.
    • Handle: RePEc:spr:jotpro:v:21:y:2008:i:2:d:10.1007_s10959-007-0113-y
    DOI: 10.1007/s10959-007-0113-y
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    References listed on IDEAS

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    1. Robert J. Elliott & John Van Der Hoek, 2003. "A General Fractional White Noise Theory And Applications To Finance," Mathematical Finance, Wiley Blackwell, vol. 13(2), pages 301-330, April.
    2. Herrmann, Samuel & Scheutzow, Michael, 2004. "Rate of convergence of some self-attracting diffusions," Stochastic Processes and their Applications, Elsevier, vol. 111(1), pages 41-55, May.
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    Cited by:

    1. Xichao Sun & Litan Yan & Yong Ge, 2022. "The Laws of Large Numbers Associated with the Linear Self-attracting Diffusion Driven by Fractional Brownian Motion and Applications," Journal of Theoretical Probability, Springer, vol. 35(3), pages 1423-1478, September.

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