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

Xavier Bardina, Ciprian A. Tudor

Research output: Contribution to journalArticleResearchpeer-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 languageEnglish
Pages (from-to)231-242
JournalBoletin de la Sociedad Matematica Mexicana
Volume13
Issue number1
Publication statusPublished - 1 Apr 2007

Keywords

  • Convergence group
  • Direct limit
  • Duality
  • Inverse limit
  • Nuclear topological group

Fingerprint Dive into the research topics of 'The law of a stochastic integral with two independent fractional brownian motions'. Together they form a unique fingerprint.

Cite this