共查询到10条相似文献,搜索用时 62 毫秒
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Rimas Norvaiša 《Lithuanian Mathematical Journal》2011,51(1):26-35
We prove the almost sure convergence of a weighted quadratic variation for a class of Gaussian processes. The result is applied
to a bifractional Brownian motion and a subfractional Brownian motion. 相似文献
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Na Na Luan 《数学学报(英文版)》2017,33(6):839-850
Let X~H= {X~H(t), t ∈ R_+} be a subfractional Brownian motion in R~d. We provide a sufficient condition for a self-similar Gaussian process to be strongly locally nondeterministic and show that X~H has the property of strong local nondeterminism. Applying this property and a stochastic integral representation of X~H, we establish Chung's law of the iterated logarithm for X~H. 相似文献
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设X^H={X^H(t),t∈R+}是一个取值于R^d参数为H的次分数布朗运动.本文给出了X^H在单参数情况下局部时的Holder条件和尾概率估计.同时,还给出了X^H在多参数情况下局部时的存在性及L^2表示. 相似文献
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B. L. S. Prakasa Rao 《随机分析与应用》2013,31(3):538-542
We prove that the probability measures generated by two subfractional Brownian motions with different Hurst indices are singular with respect to each other. 相似文献
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In this paper, we consider the power variation of subfractional Brownian mo- tion. As an application, we introduce a class of estimators for the index of a subfractional Brownian motion and show that they are strongly consistent. 相似文献
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本文给出了由两个不同的分数布朗运动组成的重分数布朗运动的Strassen型泛函重对数律和局部Strassen型泛函重对数律.我们的结果也适用于由两个布朗运动组成的重布朗运动及由一个分数布朗运动和一个布朗运动组成的重过程.最后将上述结果推广到n重分数布朗运动中.推广了已有文献的相应结果. 相似文献
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混合分数布朗运动驱动的幂期权定价模型 总被引:1,自引:0,他引:1
假设标的资产遵循由混合分数布朗运动驱动的随机微分方程,建立了混合分数布朗运动环境下的金融数学模型.利用拟鞅方法,获得了欧式幂期权定价公式的解析式及其平价公式.最后阐述了分数布朗运动只是混合布朗运动的一种特殊情形. 相似文献
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We define and prove the existence of a fractional Brownian motion indexed by a collection of closed subsets of a measure space.
This process is a generalization of the set-indexed Brownian motion, when the condition of independance is relaxed. Relations
with the Lévy fractional Brownian motion and with the fractional Brownian sheet are studied. We prove stationarity of the
increments and a property of self-similarity with respect to the action of solid motions. Moreover, we show that there no
“really nice” set indexed fractional Brownian motion other than set-indexed Brownian motion. Finally, behavior of the set-indexed
fractional Brownian motion along increasing paths is analysed.
相似文献
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Wen-sheng Wang 《高校应用数学学报(英文版)》2011,26(2):127-141
In this paper we study p-variation of bifractional Brownian motion. As an application, we introduce a class of estimators of the parameters of a bifractional
Brownian motion and prove that both of them are strongly consistent; as another application, we investigate fractal nature
related to the box dimension of the graph of bifractional Brownian motion. 相似文献