期刊文献+

On p-variation of bifractional Brownian motion 被引量:5

On p-variation of bifractional Brownian motion
下载PDF
导出
摘要 In this paper we study p-variation of bifractional Brownian motion. As an applica-tion, we introduce a class of estimators of the parameters of a bifractional Brownian motion andprove that both of them are strongly consistent; as another application, we investigate fractalnature related to the box dimension of the graph of bifractional Brownian motion. In this paper we study p-variation of bifractional Brownian motion. As an applica-tion, we introduce a class of estimators of the parameters of a bifractional Brownian motion andprove that both of them are strongly consistent; as another application, we investigate fractalnature related to the box dimension of the graph of bifractional Brownian motion.
出处 《Applied Mathematics(A Journal of Chinese Universities)》 SCIE CSCD 2011年第2期127-141,共15页 高校应用数学学报(英文版)(B辑)
基金 supported by NSFC (11071076) NSFC-NSF (10911120392)
关键词 Bifractional Brownian motion variation strongly consistent fractal nature. Bifractional Brownian motion variation strongly consistent fractal nature.
  • 相关文献

参考文献23

  • 1R J Adler.An Introduction to Continuity Extrema,and Related Topics General Gaussian Processes,IMS Bardour-Rice-Strawderman,1990.
  • 2R J Adler and R Pyke.Uniform quadratic variation for Gaussian processes,Stoch Process Appl,1993,48:191-209.
  • 3E Csáki,M Cs(o)rg(o) and Q M Shao.Fernique type inequalities and moduli of continuity for l2-valued Ornstein-Uhlenbeck processes,Ann Inst Henri Poincaré Probab Statist,1992,28:479-517.
  • 4K Es-Sebaiy and C A Tudor.Multidimensional bifractional Brownian motion:It(o) and Tanaka's formulas,Stoch Dyn,2007,3:365-388.
  • 5K Falconer.Fractal Geometry,John Wiley and Sons,1990.
  • 6E Giné and R Klein.On quadratic variation of processes with Gaussian increments,Ann Probab,1975,3:716-721.
  • 7C Houdré and J Villa.An example of infinite dimensional quasi-helix,Contemporary Mathematics,Amer Math Soc,2003,336:195-201.
  • 8N Jain and D Monrad.Gaussian measures in Bp,Ann Probab,1983,11:46-57.
  • 9J P Kahane.Hélices et quasi-hélices,Adv Math,1981,7B:417-433.
  • 10J P Kahane.Some Random Series of Functions,Cambridge Univ Press,1985.

同被引文献16

  • 1LUAN NaNa School of Mathematical Sciences, Beijing Normal University, Beijing 100875, China.Hausdorff measures of the image, graph and level set of bifractional Brownian motion[J].Science China Mathematics,2010,53(11):2973-2992. 被引量:4
  • 2JIANG YiMing,WANG YongJin.Self-intersection local times and collision local times of bifractional Brownian motions[J].Science China Mathematics,2009,52(9):1905-1919. 被引量:12
  • 3Yiming JIANG,Yongjin WANG.On the Collision Local Time of Fractional Brownian Motions[J].Chinese Annals of Mathematics,Series B,2007,28(3):311-320. 被引量:11
  • 4MISHURA Y. Stochasic calculus for fractional Brownian motion and related processes [ M ]. New York: Springer-Verlag, 2008.
  • 5BOJDECKI T, GOROSTIZA L G, TALARCZYK A. Self-similar stable processes arising from high density limits of occupa- tion times of particle systems[J]. Potent Anal, 2008, 28:71-103.
  • 6LtVY P. Le movement Brownien plan[ J]. Amer J Math, 1940, 62: 487-550.
  • 7KLEIN R, GINt E. On quadratic variation of processes with Gaussian increments[J]. Ann Probab, 1975, 3:716-721.
  • 8MARCUS M B, ROSEN J. p-variation of the local times of symmetric stable processes and of Gaussian Processes with station- ary increments[J]. Ann Probab, 1992, 20:1685-1713.
  • 9YAN Litan, WANG Zhi, JING Huiting. Some path properties of weighted-fractional Brownian motion [ J ]. Stochastics An International Journal of Probability and Stochastic Processes, 2014, 86 ( 5 ) :721-758.
  • 10SHEN Guangjun, AN Litan, CUI Jing. Berry-Ess6en bounds and amost sure CLT for quadratic variation of weighted frac- tional Brownian motion[ J]. Journal of Inequalities and Applications, 2013, 2013:275.

引证文献5

二级引证文献5

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部