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The 𝒼‐Transform of Sub‐fBm and an Application to a Class of Linear Subfractional BSDEs

Author

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  • Zhi Wang
  • Litan Yan

Abstract

Let SH be a subfractional Brownian motion with index 0

Suggested Citation

  • Zhi Wang & Litan Yan, 2013. "The 𝒼‐Transform of Sub‐fBm and an Application to a Class of Linear Subfractional BSDEs," Advances in Mathematical Physics, John Wiley & Sons, vol. 2013(1).
    • Handle: RePEc:wly:jnlamp:v:2013:y:2013:i:1:n:827192
    DOI: 10.1155/2013/827192
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    References listed on IDEAS

    as
    1. Li, Ming & Zhao, Wei, 2012. "Quantitatively investigating the locally weak stationarity of modified multifractional Gaussian noise," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(24), pages 6268-6278.
    2. Tudor, Constantin, 2008. "Inner product spaces of integrands associated to subfractional Brownian motion," Statistics & Probability Letters, Elsevier, vol. 78(14), pages 2201-2209, October.
    3. N. El Karoui & S. Peng & M. C. Quenez, 1997. "Backward Stochastic Differential Equations in Finance," Mathematical Finance, Wiley Blackwell, vol. 7(1), pages 1-71, January.
    4. T. Bojdecki & L. G. Gorostiza & A. Talarczyk, 2004. "Fractional Brownian Density Process and Its Self-Intersection Local Time of Order k," Journal of Theoretical Probability, Springer, vol. 17(3), pages 717-739, July.
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