Remarks on an integral functional driven by sub-fractional Brownian motion |
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| Authors: | Guangjun Shen Litan Yan |
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| Institution: | aDepartment of Mathematics, East China University of Science and Technology, Shanghai 200237, PR China;bDepartment of Mathematics, Anhui Normal University, Wuhu 241000, PR China;cDepartment of Mathematics, Donghua University, Shanghai 201620, PR China |
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| Abstract: | This paper studies the functionals   where  is a one-dimension sub-fractional Brownian motion with index H∈(0,1). It shows that there exists a constant pH∈(1,2) such that p-variation of the process  (j=1,2) is equal to 0 if p>pH, where ?j, j=1,2, are the local time and weighted local time of SH, respectively. This extends the classical results for Brownian motion. |
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| Keywords: | AMS 2000 subject classifications: 60G15 60J55 60H05 |
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