On the Linear Fractional Self-attracting Diffusion

Litan Yan (), Yu Sun and Yunsheng Lu
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Litan Yan: Donghua University
Yu Sun: Donghua University
Yunsheng Lu: Donghua University

Journal of Theoretical Probability, 2008, vol. 21, issue 2, 502-516

Abstract: Abstract In this paper, we introduce the linear fractional self-attracting diffusion driven by a fractional Brownian motion with Hurst index 1/2

Keywords: Fractional Brownian motion; Self-attracting diffusion; The fractional Itô integrals; Local time and self-intersection local time; 60G15; 60J55; 60H05 (search for similar items in EconPapers)
Date: 2008
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DOI: 10.1007/s10959-007-0113-y

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