Fractional diffusion Bessel processes with Hurst index H∈(0,12)

Yuliya Mishura and Kostiantyn Ralchenko

Statistics & Probability Letters, 2024, vol. 206, issue C

Abstract: We introduce fractional diffusion Bessel process with Hurst index H∈(0,12), derive a stochastic differential equation for it, and study the asymptotic properties of its sample paths.

Keywords: Fractional Bessel process; Fractional Brownian motion; Stochastic differential equation; Reflection function; Asymptotic properties (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1016/j.spl.2023.110008

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