Article ID Journal Published Year Pages File Type
10527643 Stochastic Processes and their Applications 2005 25 Pages PDF
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
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