Abstract
Using the tools of the stochastic integration with respect to the fractional Brownian motion, we obtain the expression of the characteristic function of the random variable f01Bsalpha;dBsH where Bα and B H are two independent fractional Brownian motions with Hurst parameters α ∈ (0, 1) and H > 1/2 respectively. The two-parameter case is also considered.
| Original language | English |
|---|---|
| Pages (from-to) | 231-242 |
| Journal | Boletin de la Sociedad Matematica Mexicana |
| Volume | 13 |
| Issue number | 1 |
| Publication status | Published - 1 Apr 2007 |
Keywords
- Convergence group
- Direct limit
- Duality
- Inverse limit
- Nuclear topological group