THE LAW OF A STOCHASTIC INTEGRAL WITH TWO INDEPENDENT BIFRACTIONAL BROWNIAN MOTIONS

Title & Authors
THE LAW OF A STOCHASTIC INTEGRAL WITH TWO INDEPENDENT BIFRACTIONAL BROWNIAN MOTIONS
Liu, Junfeng;

Abstract
In this note, we obtain the expression of the characteristic fucntion of the random variable $\small{\int_o^TB_s^{{\alpha},{\beta}}dB_s^{H,K}}$, where $\small{B^{{\alpha},{\beta}}}$ and $\small{B^{H,K}}$ are two independent bifractional Brownian motions with indices $\small{{\alpha}{\in}(0,1),{\beta}{\in}(0, 1]}$ and $\small{HK{\in}(\frac{1}{2},\;1)}$ respectively.
Keywords
bifractional Brownian motion;stochastic integral;characteristic function;
Language
English
Cited by
1.
The Schoenberg--Lévy Kernel and Relationships among Fractional Brownian Motion, Bifractional Brownian Motion, and Others, Theory of Probability & Its Applications, 2013, 57, 4, 619
2.
The Schoenberg - Lévy kernel and relationships among fractional Brownian motion, bifractional Brownian motion, and others, Теория вероятностей и ее применения, 2012, 57, 4, 744
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