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On a ogawa–type integral with application to the fractional brownian motion

 

作者: Rosario Delgado,   Maria Jolis,  

 

期刊: Stochastic Analysis and Applications  (Taylor Available online 2000)
卷期: Volume 18, issue 4  

页码: 617-634

 

ISSN:0736-2994

 

年代: 2000

 

DOI:10.1080/07362990008809688

 

出版商: Marcel Dekker, Inc.

 

数据来源: Taylor

 

摘要:

We construct a deterministic Ogawa–type integral with respect to a continuous function that, in particular, can be a trajectory of the Fractional Brownian motion. This integral is related with the Stratonovich integral and with the integrals introduced by Ciesielski et altri and Zähle. We give a sufficient condition for the integrability of a function in this sense, that does not imply its continuity. Under this sufficient condition, we obtain a Besov regularity property of the indefinite integral. We also study the stochastic Ogawa integral for stochastic processes when integrate with respect to the Fractional Brownian motion of Hurst parameter H ∈ (1/2, 1)

 

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