REMARKS ON SUB-FRACTIONAL BESSEL PROCESSES

被引：0

作者：

Shen Guangjun ^{[1
,2
]}

Chen Chao ^{[1
]}

Yam Litan ^{[3
]}

机构：

[1] E China Univ Sci & Technol, Dept Math, Shanghai 200237, Peoples R China

[2] Anhui Normal Univ, Dept Math, Wuhu 241000, Peoples R China

[3] Donghua Univ, Dept Math, Shanghai 201620, Peoples R China

来源：

ACTA MATHEMATICA SCIENTIA | 2011年 / 31卷 / 05期

关键词：

sub-fractional Brownian motion; Malliavin calculus; sub-fractional Bessel processes; chaos expansion; BROWNIAN-MOTION; RESPECT; TIME;

D O I：

暂无

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

Let S = {(S-t(1), ..., S-t(d))}t >= 0 denote a d-dimensional sub-fractional Brownian motion with index H >= 1/2. In this paper we study some properties of the process X of the form X-t :=Sigma(d)(i=1) integral(t)(0) S-s(i)/R(s)dS(s)(i), d >= 1, where R-t = root(s(t)(1))(2) + ... + (s(t)(d))(2) is the sub-fractional Bessel process.

引用

页码：1860 / 1876

页数：17

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