Stochastic integration for tempered fractional Brownian motion |
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| Authors: | Mark M. Meerschaert Farzad Sabzikar |
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| Affiliation: | Department of Statistics and Probability, Michigan State University, East Lansing MI 48823, United States |
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| Abstract: | ![]()
Tempered fractional Brownian motion is obtained when the power law kernel in the moving average representation of a fractional Brownian motion is multiplied by an exponential tempering factor. This paper develops the theory of stochastic integrals for tempered fractional Brownian motion. Along the way, we develop some basic results on tempered fractional calculus. |
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| Keywords: | Tempered fractional Brownian motion Fractional calculus Stochastic integration Fractional Sobolev space |
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