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Fractional diffusion Bessel processes with Hurst index H∈(0,[Formula presented])
Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics. Taras Shevchenko National University of Kyiv, 64/23 Volodymyrska, Kyiv, 01601, Ukraine.ORCID iD: 0000-0002-6877-1800
Taras Shevchenko National University of Kyiv, 64/23 Volodymyrska, Kyiv, 01601, Ukraine.
2024 (English)In: Statistics and Probability Letters, ISSN 0167-7152, E-ISSN 1879-2103, Vol. 206, article id 110008Article in journal (Refereed) Published
Abstract [en]

We introduce fractional diffusion Bessel process with Hurst index H∈(0,[Formula presented]), derive a stochastic differential equation for it, and study the asymptotic properties of its sample paths.

Place, publisher, year, edition, pages
Elsevier B.V. , 2024. Vol. 206, article id 110008
Keywords [en]
Asymptotic properties, Fractional Bessel process, Fractional Brownian motion, Reflection function, Stochastic differential equation
National Category
Mathematics
Identifiers
URN: urn:nbn:se:mdh:diva-65143DOI: 10.1016/j.spl.2023.110008ISI: 001139274100001Scopus ID: 2-s2.0-85179033237OAI: oai:DiVA.org:mdh-65143DiVA, id: diva2:1821896
Available from: 2023-12-21 Created: 2023-12-21 Last updated: 2024-01-31Bibliographically approved

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Mishura, Yuliiya

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