Title of article :
The -variation of the divergence integral with respect to the fractional Brownian motion for and fractional Bessel processes
Author/Authors :
Guerra، نويسنده , , Joمo M.E. and Nualart، نويسنده , , David، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2005
Abstract :
We study the 1 / H -variation of the indefinite integral with respect to fractional Brownian motion for H > 1 2 , 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.
Keywords :
Fractional Brownian motion , Malliavin Calculus , Divergence integral , p -variation , Bessel processes
Journal title :
Stochastic Processes and their Applications
Journal title :
Stochastic Processes and their Applications