The 1/H-variation of the divergence integral with respect to the fractional Brownian motion for H>1/2 and fractional Bessel processes

We study the 1/H-variation of the indefinite integral with respect to fractional Brownian motion for , where this integral is defined as the divergence integral in the framework of the Malliavin calculus. An application to the integral representation of Bessel processes with respect to fractional Brownian motion is discussed.

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Year of publication:	2005
Authors:	Guerra, João M.E. ; Nualart, David
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 115.2005, 1, p. 91-115
Publisher:	Elsevier
Keywords:	Fractional Brownian motion Malliavin calculus Divergence integral p-variation Bessel processes

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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