The quadratic variation for mixed-fractional Brownian motion

The quadratic variation for mixed-fractional Brownian motion

Abstract Let W = λ B + ν B H ${W}=\lambda B+\nu B^{H}$ be a mixed-fractional Brownian motion with Hurst index 0 < H < 1 2 $0< H<\frac{1}{2}$ and λ , ν ≠ 0 $\lambda,\nu\neq0$ . In this paper we study the quadratic covariation [ f ( W ) , W ] ( H ) $[f({W}),{W}]^{(H)}$ defined by [ f ( W )...

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Bibliographic Details
Main Authors: Han Gao, Kun He, Litan Yan
Format: Article
Language:English
Published: SpringerOpen 2016-11-01
Series:Journal of Inequalities and Applications
Subjects:
mixed fractional Brownian motion
Malliavin calculus
local time
fractional Itô formula
Online Access:http://link.springer.com/article/10.1186/s13660-016-1254-2

Internet

http://link.springer.com/article/10.1186/s13660-016-1254-2

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