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Results tagged with brownian-motion
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user 69642
2
votes
Isometry for the stochastic integral wrt fractional Brownian motion for random processes
Regarding the link between stochastic integral wrt fractional Brownian motion and stochastic integral wrt Brownian motion, this is the content of Proposition 5.2.2 of the book "The Malliavin calculus …
- 778
4
votes
Accepted
Reference for LIL for fractional Brownian motion
This has been proved by S. Orey in this article:
Steven Orey. Growth rate of certain Gaussian processes. Proceedings of the Sixth Berkeley Symposium on Mathematical Statistics and Probability, Vol. I …
- 778