The law of a stochastic integral with two independent fractional Brownian motions
Bardina i Simorra, Xavier (Universitat Autònoma de Barcelona. Departament de Matemàtiques)
Tudor, Ciprian A. (Université de Panthéon-Sorbonne Paris 1. Centre d'Economie de La Sorbonne)

Date:	2007
Abstract:	Using the tools of the stochastic integration with respect to the fractional Brownian motion, we obtain the expression of the characteristic function of the random variable f01Bsalpha;dBsH where Bα and B H are two independent fractional Brownian motions with Hurst parameters α ∈ (0, 1) and H > 1/2 respectively. The two-parameter case is also considered.
Grants:	Ministerio de Educación y Ciencia BFM2003-01345 Ministerio de Educación y Ciencia BFM2003-00261
Rights:	Tots els drets reservats.
Language:	Anglès
Document:	Article ; recerca ; Versió acceptada per publicar
Subject:	Stochastic integral ; Fractional Brownian motion ; Characteristic function
Published in:	Boletin de la Sociedad Matematica Mexicana, Vol. 13, Núm. 1 (2007) , p. 231-242, ISSN 2296-4495

Postprint 14 p, 305.5 KB

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