Some Properties of Bifractional Bessel Processes Driven by Bifractional Brownian Motion
Joint Authors
Source
Mathematical Problems in Engineering
Issue
Vol. 2020, Issue 2020 (31 Dec. 2020), pp.1-13, 13 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2020-10-19
Country of Publication
Egypt
No. of Pages
13
Main Subjects
Abstract EN
Let B=Bt1,…,Btdt≥0 be a d-dimensional bifractional Brownian motion and Rt=Bt12+⋯+Btd2 be the bifractional Bessel process with the index 2HK≥1.
The Itô formula for the bifractional Brownian motion leads to the equation Rt=∑i=1d∫0tBsi/RsdBsi+HKd−1∫0ts2HK−1/Rsds.
In the Brownian motion case K=1 and H=1/2, Xt≔∑i=1d∫0tBsi/RsdBsi, d≥1 is a Brownian motion by Lévy’s characterization theorem.
In this paper, we prove that process Xt is not a bifractional Brownian motion unless K=1 and H=1/2.
We also study some other properties and their application of this stochastic process.
American Psychological Association (APA)
Sun, Xichao& Guo, Rui& Li, Ming. 2020. Some Properties of Bifractional Bessel Processes Driven by Bifractional Brownian Motion. Mathematical Problems in Engineering،Vol. 2020, no. 2020, pp.1-13.
https://search.emarefa.net/detail/BIM-1197543
Modern Language Association (MLA)
Sun, Xichao…[et al.]. Some Properties of Bifractional Bessel Processes Driven by Bifractional Brownian Motion. Mathematical Problems in Engineering No. 2020 (2020), pp.1-13.
https://search.emarefa.net/detail/BIM-1197543
American Medical Association (AMA)
Sun, Xichao& Guo, Rui& Li, Ming. Some Properties of Bifractional Bessel Processes Driven by Bifractional Brownian Motion. Mathematical Problems in Engineering. 2020. Vol. 2020, no. 2020, pp.1-13.
https://search.emarefa.net/detail/BIM-1197543
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1197543