The law of a stochastic integral with two independent fractional Brownian motions

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Títol:	The law of a stochastic integral with two independent fractional Brownian motions
Autor/a:	Bardina i Simorra, Xavier; Tudor, Ciprian A.
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.
Matèries:	-Stochastic integral -Fractional Brownian motion -Characteristic function
Drets:	open access Tots els drets reservats. https://rightsstatements.org/vocab/InC/1.0/
Tipus de document:	Article
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Uri:	https://ddd.uab.cat/record/273321

Tudor, Ciprian A.

Tudor, Ciprian A.; Universitat Autònoma de Barcelona. Centre de Recerca Matemàtica

Bardina i Simorra, Xavier; Rovira Escofet, Carles

Bardina i Simorra, Xavier; Rovira Escofet, Carles

Bardina i Simorra, Xavier

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