Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
10527643 | Stochastic Processes and their Applications | 2005 | 25 Pages |
Abstract
We study the 1/H-variation of the indefinite integral with respect to fractional Brownian motion for H>12, where this integral is defined as the divergence integral in the framework of the Malliavin calculus. An application to the integral representation of Bessel processes with respect to fractional Brownian motion is discussed.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
João M.E. Guerra, David Nualart,