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math.PR2008★ 1 cited
Occupation densities for certain processes related to fractional Brownian motion
Khalifa Es-Sebaiy, David Nualart, Youssef Ouknine +1
In this paper we establish the existence of a square integrable occupation density for two classes of stochastic processes. First we consider a Gaussian process with an absolutely…
math.PR2007
Multidimensional bifractional Brownian motion: Ito and Tanaka formulas
Ciprian Tudor, Khalifa Es-Sebaiy
Using the Malliavin calculus with respect to Gaussian processes and the multiple stochastic integrals we derive Itô's and Tanaka's formulas for the -dimensional bifractional Bro…