2 papers
math.PR2010
When does fractional Brownian motion not behave as a continuous function with bounded variation?
Ehsan Azmoodeh, Heikki Tikanmäki, Esko Valkeila
If we compose a smooth function g with fractional Brownian motion B with Hurst index H > 1/2, then the resulting change of variables formula [or It/^o- formula] has the same form a…
math.PR2010
Fractional Lévy processes as a result of compact interval integral transformation
Heikki Tikanmäki, Yuliya Mishura
Fractional Brownian motion can be represented as an integral of a deterministic kernel w.r.t. an ordinary Brownian motion either on infinite or compact interval. In previous litera…