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ON THE SUM OF GAUSSIAN MARTINGALE AND AN INDEPENDENT FRACTIONAL BROWNIAN MOTION.
- Source :
-
Theory of Probability & Its Applications . 2023, Vol. 68 Issue 2, p316-323. 8p. - Publication Year :
- 2023
-
Abstract
- In the same context as in the seminal paper [P. Cheridito, Bernoulli, 7 (2001), pp. 913-934], we are concerned with the semimartingale property of the sum of some Gaussian martingale and an independent fractional Brownian motion with Hurst parameter H = (0, 1). At the same time, we emphasize that the Markov property is lost even if the martingale owns it. [ABSTRACT FROM AUTHOR]
- Subjects :
- *GAUSSIAN sums
*MARTINGALES (Mathematics)
*BROWNIAN motion
*MARKOV processes
Subjects
Details
- Language :
- English
- ISSN :
- 0040585X
- Volume :
- 68
- Issue :
- 2
- Database :
- Academic Search Index
- Journal :
- Theory of Probability & Its Applications
- Publication Type :
- Academic Journal
- Accession number :
- 173676861
- Full Text :
- https://doi.org/10.1137/S0040585X97T991441