Communications of the Korean Mathematical Society (대한수학회논문집)

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THE LAW OF A STOCHASTIC INTEGRAL WITH TWO INDEPENDENT BIFRACTIONAL BROWNIAN MOTIONS

  • Liu, Junfeng (School of Mathematics and Statistics Nanjing Audit University)
  • Received : 2010.06.12
  • Published : 2011.10.31
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Abstract

In this note, we obtain the expression of the characteristic fucntion of the random variable $\int_o^TB_s^{{\alpha},{\beta}}dB_s^{H,K}$, where $B^{{\alpha},{\beta}}$ and $B^{H,K}$ are two independent bifractional Brownian motions with indices ${\alpha}{\in}(0,1),{\beta}{\in}(0, 1]$ and $HK{\in}(\frac{1}{2},\;1)$ respectively.

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References

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