Asymptotic behavior of weighted quadratic variation of bi-fractional Brownian motion

Rachid Belfadli

Displaying similar documents to “Asymptotic behavior of weighted quadratic variation of bi-fractional Brownian motion”

On the local time of sub-fractional Brownian motion

Ibrahima Mendy (2010)

Annales mathématiques Blaise Pascal

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$S^{H} = {S_{t}^{H}, t \geq 0}$ be a sub-fractional Brownian motion with $H \in (0, 1)$ . We establish the existence, the joint continuity and the Hölder regularity of the local time $L^{H}$ of $S^{H}$ . We will also give Chung’s form of the law of iterated logarithm for $S^{H}$ . This results are obtained with the decomposition of the sub-fractional Brownian motion into the sum of fractional Brownian motion plus a stochastic process with absolutely continuous trajectories. This decomposition is given by Ruiz de Chavez and Tudor []. ...

Weak convergence to fractional Brownian motion in some anisotropic Besov space

M. Ait Ouahra (2004)

Annales mathématiques Blaise Pascal

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We give some limit theorems for the occupation times of 1-dimensional Brownian motion in some anisotropic Besov space. Our results generalize those obtained by Csaki et [] in continuous functions space.

Computation of Greeks using Malliavin's calculus in jump type market models.

Bavouzet-Morel, Marie-Pierre, Messaoud, Marouen (2006)

Electronic Journal of Probability [electronic only]

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Two-weighted estimates for some integral transforms in Lebesgue spaces with mixed norm and imbedding theorems.

Kokilashvili, V. (1994)

Georgian Mathematical Journal

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On q–Analogues of Caputo Derivative and Mittag–Leffler Function

Rajkovic, Predrag, Marinkovic, Sladjana, Stankovic, Miomir (2007)

Fractional Calculus and Applied Analysis

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Mathematics Subject Classification: 33D60, 33E12, 26A33 Based on the fractional q–integral with the parametric lower limit of integration, we consider the fractional q–derivative of Caputo type. Especially, its applications to q-exponential functions allow us to introduce q–analogues of the Mittag–Leffler function. Vice versa, those functions can be used for defining generalized operators in fractional q–calculus.

Curvilinear integrals along enriched paths.

Feyel, Denis, de La Pradelle, Arnaud (2006)

Electronic Journal of Probability [electronic only]

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Fractional Integration of the Product of Bessel Functions of the First Kind

Kilbas, Anatoly, Sebastian, Nicy (2010)

Fractional Calculus and Applied Analysis

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Dedicated to 75th birthday of Prof. A.M. Mathai, Mathematical Subject Classification 2010:26A33, 33C10, 33C20, 33C50, 33C60, 26A09 Two integral transforms involving the Gauss-hypergeometric function in the kernels are considered. They generalize the classical Riemann-Liouville and Erdélyi-Kober fractional integral operators. Formulas for compositions of such generalized fractional integrals with the product of Bessel functions of the first kind are proved. Special cases for...

The Skorokhod oblique reflection problem in a convex polyhedron.

Shashiashvili, M. (1996)

Georgian Mathematical Journal

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Fractional Calculus of the Generalized Wright Function

Kilbas, Anatoly (2005)

Fractional Calculus and Applied Analysis

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Mathematics Subject Classification: 26A33, 33C20. The paper is devoted to the study of the fractional calculus of the generalized Wright function pΨq(z) defined for z ∈ C, complex ai, bj ∈ C and real αi, βj ∈ R (i = 1, 2, · · · p; j = 1, 2, · · · , q) by the series pΨq (z) It is proved that the Riemann-Liouville fractional integrals and derivative of the Wright function are also the Wright functions but of greater order. Special cases are considered. * The present...