CHAOS EXPANSION OF LOCAL TIME OF FRACTIONAL BROWNIAN MOTIONS

نویسندگان
چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Intersection Local Time for two Independent Fractional Brownian Motions

Let B and e B be two independent, d-dimensional fractional Brownian motions with Hurst parameter H ∈ (0, 1) . Assume d ≥ 2. We prove that the intersection local time of B and e B I(BH , e BH) = Z

متن کامل

Regularity of Intersection Local Times of Fractional Brownian Motions

Let Bi be an (Ni, d)-fractional Brownian motion with Hurst index αi (i = 1,2), and let B1 and B2 be independent. We prove that, if N1 α1 + N2 α2 > d , then the intersection local times of B1 and B2 exist, and have a continuous version. We also establish Hölder conditions for the intersection local times and determine the Hausdorff and packing dimensions of the sets of intersection times and int...

متن کامل

Are fractional Brownian motions predictable?

We provide a device, called the local predictor, which extends the idea of the predictable compensator. It is shown that a fBm with the Hurst index greater than 1/2 coincides with its local predictor while fBm with the Hurst index smaller than 1/2 does not admit any local predictor. Mathematics Subject Classification (2000). Primary 60G07; Secondary 60G15, 60G48, 60G25.

متن کامل

Large deviations for the local and intersection local times of fractional Brownian motions

Large deviation principle for the non-linear functionals of non-Markovian models is a challenging subject. A class of such models are Gaussian processes. Among them, the fractional Brownian motions are perhaps the most important processes. In this talk, I will talk about some recent progress achieved in the large deviations for local times and intersection local times of fractional Brownian mot...

متن کامل

9 Are fractional Brownian motions predictable ?

We provide a device, called the local predictor, which extends the idea of the predictable compensator. It is shown that a fBm with the Hurst index greater than 1/2 coincides with its local predictor while fBm with the Hurst index smaller than 1/2 does not admit any local predictor. 1 Intoduction The question in the title is provocative, of course. Everybody familiar with the theory of stochast...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Stochastic Analysis and Applications

سال: 2002

ISSN: 0736-2994,1532-9356

DOI: 10.1081/sap-120006109