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The law of a stochastic integral with two independent fractional brownian motions.
| Content Provider | CiteSeerX |
|---|---|
| Author | Bardina, Xavier Tudor, Ciprian A. |
| Abstract | Using the tools of the stochastic integration with respect to the fractional Brownian motion, we obtain the expression of the characteristic function of the random variable ∫ 1 0 Bαs dB H s where B α and BH are two independent fractional Brownian motions with Hurst parameters α ∈ (0, 1) and H> 12 respectively. The two-parameter case is also considered. Running head: Stochastic integral with two fBms |
| File Format | |
| Access Restriction | Open |
| Subject Keyword | Independent Fractional Brownian Motion Hurst Parameter Stochastic Integration Characteristic Function Two-parameter Case Fractional Brownian Motion |
| Content Type | Text |