The quadratic variation for mixed-fractional Brownian motion
Abstract Let W = λ B + ν B H ${W}=\lambda B+\nu B^{H}$ be a mixed-fractional Brownian motion with Hurst index 0 < H < 1 2 $0< H<\frac{1}{2}$ and λ , ν ≠ 0 $\lambda,\nu\neq0$ . In this paper we study the quadratic covariation [ f ( W ) , W ] ( H ) $[f({W}),{W}]^{(H)}$ defined by [ f ( W )...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2016-11-01
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| Series: | Journal of Inequalities and Applications |
| Subjects: | |
| Online Access: | http://link.springer.com/article/10.1186/s13660-016-1254-2 |