The generalized quadratic covariation for fractional Brownian motion with Hurst index less than 1/2

Yan Litan; Liu Junfeng; Chen Chao

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The generalized quadratic covariation for fractional Brownian motion with Hurst index less than 1/2

机译：Hurst指数小于1/2的分数布朗运动的广义二次协变量

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摘要

In this paper, we study the generalized quadratic covariation of f(B-H) and B-H defined by

机译：在本文中，我们研究了f（B-H）和B-H的广义二次协变量，它们由

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《Infinite dimensional analysis, quantum probability, and related topics》 |2014年第4期|共32页
作者
Yan Litan; Liu Junfeng; Chen Chao;
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正文语种 eng
中图分类物理学;
关键词
Fractional Brownian motion; Malliavin calculus; local time; fractional It(o)over-cap formula; quadratic covariation;

机译：分数布朗运动;Malliavin演算;局部时间;小数It（o）上限公式;二次协变;

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专利

1. The generalized quadratic covariation for fractional Brownian motion with Hurst index less than 1/2 [J] . Yan Litan, Liu Junfeng, Chen Chao Infinite dimensional analysis, quantum probability, and related topics . 2014,第4期

机译：Hurst指数小于1/2的分数布朗运动的广义二次协变量
2. Quadratic variations and estimation of the hurst index of the solution of SDE driven by a fractional Brownian motion [J] . Kubilius K., Melichov D. Lithuanian mathematical journal . 2010,第4期

机译：分数布朗运动驱动的SDE的解的二次变化和hurst指数的估计
3. m-order integrals and generalized Ito's formula; the case of a fractional Brownian motion with any Hurst index [J] . Mihai Gradinaru, Ivan Nourdin, Francesco Russo, Annales de l'Institut Henri Poincare. Probabilites et Statistiques . 2005,第4期

机译：m阶积分和广义的伊藤公式；具有任何赫斯特指数的分数布朗运动的情况
4. Simulation of Fractional Brownian Motion and Estimation of Hurst Parameter [C] . Anatolii Pashko, Olga Sinyavska, Tetiana Oleshko IEEE International Conference on Advanced Trends in Radioelectronics, Telecommunications and Computer Engineering . 2020

机译：分数布朗运动的仿真和赫斯特参数估计
5. Estimation of the Hurst Exponent in Fractional Brownian Motion Driven Volatility Using High Frequency Data and Option Prices [D] . Nirhale, Nikhil. 2018

机译：利用高频数据和选项价格估算分数褐色运动驱动波动率的赫斯特指数
6. Visual information and expert’s idea in Hurst index estimation of the fractional Brownian motion using a diffusion type approximation [O] . Ali R. Taheriyoun, Meisam Moghimbeygi -1

机译：视觉信息和专家的想法使用扩散类型近似来估计分数布朗运动的赫斯特指数
7. 1 THE GENERALIZED QUADRATIC COVARIATION FOR FRACTIONAL BROWNIAN MOTION WITH HURST INDEX LESS THAN 1/2 ∗ [O] . Litan Yan, Chao Chen, Junfeng Liu 2016

机译：1具有HURsT指数不到1/2的分数布朗运动的广义二次协变
8. Series Expansion of Fractional Brownian Motion with Hurst Index Exceeding 1/2 [R] . Dzhaparidze, K. O., Van Zanten, J. H. 2002

机译：分数布朗运动的级数展开，Hurst指数超过1/2

The generalized quadratic covariation for fractional Brownian motion with Hurst index less than 1/2

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