p-variation of an integral functional associated with bi-fractional Brownian motion ∗

p-variation of an integral functional associated with bi-fractional Brownian motion ∗
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DOI：
10.2298/fil1306995l
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发表时间：
2013
期刊：
Filomat
影响因子：
0.8
通讯作者：
Junfeng Liu;Litan Yan;Donglei Tang
Junfeng Liu;Litan Yan;Donglei Tang
中科院分区：
数学4区
文献类型：
--
作者：
Junfeng Liu;Litan Yan;Donglei Tang

文献摘要

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In this paper we consider the functionals A1(t,x) = integral(t)(0) 1 (0,∞)(x-BsH,K)dS A2(t,x) = integral(t)(0) 1 (0,∞)(x-BsH,K)S2HK-1dS, where BH,K is a bifractional Brownian motion with indices H є (0,1), K є (0,1]. We find a constant pH,K є (1,2) such that p-variation of the process Aj(t, BsH,K) integral(t)(0) Z j(s, BsH,K)dBsH,K (j = 1,2) equals to 0 if p > pHK, where Zi, j = 1,2, are the local times of BtH,K. This extends the classical results for Brownian motion (Rogers-Walsh [17]). .