Covariance of stochastic integrals with respect to fractional Brownian motion

Yohaï Maayan and Eddy Mayer-Wolf

Stochastic Processes and their Applications, 2018, vol. 128, issue 5, 1635-1651

Abstract: We find an explicit expression for the cross-covariance between stochastic integral processes with respect to a d-dimensional fractional Brownian motion (fBm) Bt with Hurst parameter H>12, where the integrands are vector fields applied to Bt. It provides, for example, a direct alternative proof of Y. Hu and D. Nualart’s result that the stochastic integral component in the fractional Bessel process decomposition is not itself a fractional Brownian motion.

Keywords: Fractional Brownian motion; Divergence integral; Stochastic integral; Fractional Bessel process (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:128:y:2018:i:5:p:1635-1651

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DOI: 10.1016/j.spa.2017.08.006

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