Let B be a bi-fractional Brownian motion with indices [Inline formula], [Inline formula] and let [Inline formula] be its local time process. We construct a Banach space [Inline formula] of measurable functions such that the quadratic covariation [Inline formula] and the integral
[Inline formula] exist provided [Inline formula]. Moreover, the Bouleau–Yor identity
for all [Inline formula].
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bi-fractional Brownian motion;
Document Type: Research Article
Department of Mathematics, Donghua University, 2999 North Renmin Road, Songjiang, Shanghai,201620, P.R. China
School of Mathematics and Statistics, Nanjing Audit University, 86 West Yushan Road, Pukou, Nanjing,211815, P.R. China
Publication date: May 4, 2014