The law of a stochastic integral with two independent fractional brownian motions

Xavier Bardina; Ciprian A. Tudor

The law of a stochastic integral with two independent fractional brownian motions

Xavier Bardina, Ciprian A. Tudor

Department of Mathematics

Research output: Contribution to journal › Article › Research › peer-review

2 Citations (Scopus)

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

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title = "The law of a stochastic integral with two independent fractional brownian motions",

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.",

keywords = "Convergence group, Direct limit, Duality, Inverse limit, Nuclear topological group",

author = "Xavier Bardina and Tudor, {Ciprian A.}",

year = "2007",

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T1 - The law of a stochastic integral with two independent fractional brownian motions

AU - Bardina, Xavier

AU - Tudor, Ciprian A.

PY - 2007/4/1

Y1 - 2007/4/1

N2 - 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.

AB - 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.

KW - Convergence group

KW - Direct limit

KW - Duality

KW - Inverse limit

KW - Nuclear topological group

M3 - Article

VL - 13

SP - 231

EP - 242

IS - 1

ER -