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

Stochastic Processes and their Applications

Volumn 115, Issue 1, 2005, Pages 91-115

  Guerra, João M E ^a,b   Nualart, David ^b  

^a UNIVERSITY OF LISBON   (Portugal)

^b UNIVERSITY OF BARCELONA   (Spain)

Author keywords

Bessel processes; Divergence integral; Fractional Brownian motion; Malliavin calculus; p variation

Indexed keywords

BESSEL FUNCTIONS; BROWNIAN MOVEMENT; INTEGRAL EQUATIONS; MATHEMATICAL MODELS; VARIATIONAL TECHNIQUES;

BESSEL PROCESSES; DIVERGENCE INTEGRAL; FRACTIONAL BROWNIAN MOTION; MALLIAVIN CALCULUS;

RANDOM PROCESSES;

EID: 10244243741     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2004.07.008     Document Type: Article

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