Fractionally integrated Bessel process
Copyright policy )Fractionally integrated Bessel process
We consider a fractionally integrated Bessel process defined by Y s δ , H = ∫ 0 ∞ ( u H − ( 1 / 2 ) − ( u − s ) + H − ( 1 / 2 ) ) d X u δ , where X δ is the Bessel process of dimension δ > 2. We discuss the relation of this process to the fractional Brownian motion at its maximum, study the basic properties of the process and prove its Hölder continuity.
- Taras Shevchenko National University of Kyiv Ukraine
- Kyiv School of Economics Ukraine
Hurst parameter, Bessel process, Hölder continuity, Fractional processes, including fractional Brownian motion, fractional Brownian motion (fBm), Diffusion processes
Hurst parameter, Bessel process, Hölder continuity, Fractional processes, including fractional Brownian motion, fractional Brownian motion (fBm), Diffusion processes
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