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

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dc.contributor.author	Bardina i Simorra, Xavier
dc.contributor.author	Tudor, Ciprian A.
dc.date	2007
dc.identifier	https://ddd.uab.cat/record/273321
dc.identifier	urn:oai:ddd.uab.cat:273321
dc.identifier	urn:oai:egreta.uab.cat:publications/c47ce47e-6c5c-4e64-873b-bbec0d439809
dc.identifier	urn:pure_id:36907930
dc.identifier	urn:scopus_id:58549112396
dc.identifier	urn:articleid:22964495v13n1p231
dc.format	application/pdf
dc.language	eng
dc.publisher
dc.relation	Ministerio de Educación y Ciencia BFM2003-01345
dc.relation	Ministerio de Educación y Ciencia BFM2003-00261
dc.relation	Boletin de la Sociedad Matematica Mexicana ; Vol. 13, Núm. 1 (2007), p. 231-242
dc.rights	open access
dc.rights	Tots els drets reservats.
dc.rights	https://rightsstatements.org/vocab/InC/1.0/
dc.subject	Stochastic integral
dc.subject	Fractional Brownian motion
dc.subject	Characteristic function
dc.title	The law of a stochastic integral with two independent fractional Brownian motions
dc.type	Article
dc.description.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.