Title of article
The -variation of the divergence integral with respect to the fractional Brownian motion for and fractional Bessel processes
Author/Authors
Guerra، نويسنده , , Joمo M.E. and Nualart، نويسنده , , David، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2005
Pages
25
From page
91
To page
115
Abstract
We study the 1 / H -variation of the indefinite integral with respect to fractional Brownian motion for H > 1 2 , where this integral is defined as the divergence integral in the framework of the Malliavin calculus. An application to the integral representation of Bessel processes with respect to fractional Brownian motion is discussed.
Keywords
Fractional Brownian motion , Malliavin Calculus , Divergence integral , p -variation , Bessel processes
Journal title
Stochastic Processes and their Applications
Serial Year
2005
Journal title
Stochastic Processes and their Applications
Record number
1577542
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