| dc.contributor.author | Hu, Yaozhong | |
| dc.contributor.author | Nualart, David | |
| dc.contributor.author | Song, Jian | |
| dc.date.accessioned | 2015-03-10T16:03:55Z | |
| dc.date.available | 2015-03-10T16:03:55Z | |
| dc.date.issued | 2009-11-19 | |
| dc.identifier.citation | Hu, Yaozhong; Nualart, David; Song, Jian. Fractional martingales and characterization of the fractional Brownian motion. Ann. Probab. 37 (2009), no. 6, 2404--2430. http://dx.doi.org/10.1214/09-AOP464. | en_US |
| dc.identifier.uri | http://hdl.handle.net/1808/17023 | |
| dc.description | This is the published version, also available here: http://dx.doi.org/10.1214/09-AOP464. | en_US |
| dc.description.abstract | In this paper we introduce the notion of fractional martingale as the fractional derivative of order α of a continuous local martingale, where α∈(−½, ½), and we show that it has a nonzero finite variation of order 2/(1+2α), under some integrability assumptions on the quadratic variation of the local martingale. As an application we establish an extension of Lévy’s characterization theorem for the fractional Brownian motion. | en_US |
| dc.publisher | Institute of Mathematical Statistics | en_US |
| dc.subject | Fractional Brownian motion | en_US |
| dc.subject | fractional martingale | en_US |
| dc.subject | Lévy’s characterization theorem | en_US |
| dc.subject | β-variation | en_US |
| dc.title | Fractional martingales and characterization of the fractional Brownian motion | en_US |
| dc.type | Article | |
| kusw.kuauthor | Nualart, David | |
| kusw.kudepartment | Mathematics | en_US |
| dc.identifier.doi | 10.1214/09-AOP464 | |
| kusw.oaversion | Scholarly/refereed, publisher version | |
| kusw.oapolicy | This item meets KU Open Access policy criteria. | |
| dc.rights.accessrights | openAccess | |
