The 1/H-variation of the divergence integral with respect to the fractional Brownian motion for H>1/2 and fractional Bessel processes

João M.E. Guerra and David Nualart

Stochastic Processes and their Applications, 2005, vol. 115, issue 1, 91-115

Abstract: We study the 1/H-variation of the indefinite integral with respect to fractional Brownian motion for , 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 (search for similar items in EconPapers)
Date: 2005
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304-4149(04)00119-X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:115:y:2005:i:1:p:91-115

Ordering information: This journal article can be ordered from
http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Stochastic Processes and their Applications is currently edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().