The quadratic covariation for a weighted fractional Brownian motion

XIchao Sun, Litan Yan, Qinghua Zhang

Let $B^{a,b}$ be a weighted fractional Brownian motion with indices $a,b$ satisfying $a>-1,-1<b<0,|b|<1+a$. In this paper, motivated by the asymptotic property $$ E[(B^{a,b}_{s+\va…