The Bouleau–Yor identity for a bi-fractional Brownian motion

IF 0.8 4区数学 Q3 MATHEMATICS, APPLIED

Stochastics-An International Journal of Probability and Stochastic Processes Pub Date : 2014-05-04 DOI:10.1080/17442508.2013.797424

Litan Yan, Bo Gao, Junfeng Liu

引用次数: 12

Abstract

Let B be a bi-fractional Brownian motion with indices , and let be its local time process. We construct a Banach space of measurable functions such that the quadratic covariation and the integral exist provided . Moreover, the Bouleau–Yor identityholds for all .

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双分数布朗运动的布洛-你恒等式

设B是一个带指标的双分数布朗运动，设它的局部时间过程。构造了一个二次协变和积分存在的可测函数的巴拿赫空间。此外，布洛尔的身份适用于所有人。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Stochastics-An International Journal of Probability and Stochastic Processes MATHEMATICS, APPLIED-STATISTICS & PROBABILITY

CiteScore

1.90

自引率

0.00%

发文量

审稿时长

>12 weeks

期刊介绍： Stochastics: An International Journal of Probability and Stochastic Processes is a world-leading journal publishing research concerned with stochastic processes and their applications in the modelling, analysis and optimization of stochastic systems, i.e. processes characterized both by temporal or spatial evolution and by the presence of random effects. Articles are published dealing with all aspects of stochastic systems analysis, characterization problems, stochastic modelling and identification, optimization, filtering and control and with related questions in the theory of stochastic processes. The journal also solicits papers dealing with significant applications of stochastic process theory to problems in engineering systems, the physical and life sciences, economics and other areas. Proposals for special issues in cutting-edge areas are welcome and should be directed to the Editor-in-Chief who will review accordingly. In recent years there has been a growing interaction between current research in probability theory and problems in stochastic systems. The objective of Stochastics is to encourage this trend, promoting an awareness of the latest theoretical developments on the one hand and of mathematical problems arising in applications on the other.