TY - JOUR
T1 - Covariance of stochastic integrals with respect to fractional Brownian motion
AU - Maayan, Yohaï
AU - Mayer-Wolf, Eddy
N1 - Publisher Copyright:
© 2017 Elsevier B.V.
PY - 2018/5
Y1 - 2018/5
N2 - We find an explicit expression for the cross-covariance between stochastic integral processes with respect to a d-dimensional fractional Brownian motion (fBm) Bt with Hurst parameter H>[Formula presented], where the integrands are vector fields applied to Bt. It provides, for example, a direct alternative proof of Y. Hu and D. Nualart's result that the stochastic integral component in the fractional Bessel process decomposition is not itself a fractional Brownian motion.
AB - We find an explicit expression for the cross-covariance between stochastic integral processes with respect to a d-dimensional fractional Brownian motion (fBm) Bt with Hurst parameter H>[Formula presented], where the integrands are vector fields applied to Bt. It provides, for example, a direct alternative proof of Y. Hu and D. Nualart's result that the stochastic integral component in the fractional Bessel process decomposition is not itself a fractional Brownian motion.
KW - Divergence integral
KW - Fractional Bessel process
KW - Fractional Brownian motion
KW - Stochastic integral
UR - http://www.scopus.com/inward/record.url?scp=85028581553&partnerID=8YFLogxK
U2 - 10.1016/j.spa.2017.08.006
DO - 10.1016/j.spa.2017.08.006
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AN - SCOPUS:85028581553
SN - 0304-4149
VL - 128
SP - 1635
EP - 1651
JO - Stochastic Processes and their Applications
JF - Stochastic Processes and their Applications
IS - 5
ER -