Home > Articles > Published articles > The law of a stochastic integral with two independent fractional Brownian motions |
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 |