Capítulo de Libro
Lévy-areas of Ornstein-Uhlenbeck processes in Hilbert-spaces
Autor/es | Garrido Atienza, María José
Lu, Kening Schmalfuss, Björn |
Coordinador/Director | Sadovnichiy, Victor A.
Zgurovsky, Mikhail Z. |
Departamento | Universidad de Sevilla. Departamento de Ecuaciones Diferenciales y Análisis Numérico |
Fecha de publicación | 2015 |
Fecha de depósito | 2016-10-27 |
Publicado en |
|
ISBN/ISSN | 9783319190747 9783319190754 2198-4182 |
Resumen | In this paper we investigate the existence and some useful properties of the Lévy areas of Ornstein-Uhlenbeck processes associated to Hilbert-space-valued fractional Brownian-motions with Hurst parameter H ∈ (1/3, 1/2]. ... In this paper we investigate the existence and some useful properties of the Lévy areas of Ornstein-Uhlenbeck processes associated to Hilbert-space-valued fractional Brownian-motions with Hurst parameter H ∈ (1/3, 1/2]. We prove that this stochastic area has a Hölder-continuous version with sufficiently large Hölder-exponent and that can be approximated by smooth areas. In addition, we prove the stationarity of this area. |
Ficheros | Tamaño | Formato | Ver | Descripción |
---|---|---|---|---|
Lévy-areas of Ornstein-Uhlenbeck ... | 238.9Kb | [PDF] | Ver/ | |