Some Properties of Bifractional Bessel Processes Driven by Bifractional Brownian Motion

Xichao Sun, Rui Guo and Ming Li

Mathematical Problems in Engineering, 2020, vol. 2020, 1-13

Abstract:

Let be a - dimensional bifractional Brownian motion and be the bifractional Bessel process with the index . The Itô formula for the bifractional Brownian motion leads to the equation . In the Brownian motion case and , is a Brownian motion by Lévy’s characterization theorem. In this paper, we prove that process is not a bifractional Brownian motion unless and . We also study some other properties and their application of this stochastic process.

Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:7037602

DOI: 10.1155/2020/7037602

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