Junfeng Liu

most citedThe generalized quadratic covariation for fractional Brownian motion with Hurst index less than 1/2

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math.PR2011★ 4 cited

The generalized quadratic covariation for fractional Brownian motion with Hurst index less than 1/2

Litan Yan, Chao Chen, Junfeng Liu

Let $B^{H}$ be a fractional Brownian motion with Hurst index $0 < H < 1/2$ . In this paper we study the {\it generalized quadratic covariation} $[f (B^{H}), B^{H}]^{(W)}$ defined by $$ [f(B^H),…

math.PR2008

Integration with respect to fractional local times with Hurst index $H$ greater than 1/2

Litan Yan, Junfeng Liu, Xiangfeng Yang

Let $L^{H} (x, t) = 2 H \int_{0}^{t} δ (B_{s}^{H} - x) s^{2 H - 1} d s$ be the weighted local time of fractional Brownian motion $B^{H}$ with Hurst index $1/2 < H < 1$ . In this paper, we use Young inte…

The generalized quadratic covariation for fractional Brownian motion with Hurst index less than 1/2

Integration with respect to fractional local times with Hurst index H greater than 1/2

Integration with respect to fractional local times with Hurst index $H$ greater than 1/2