Article2016

On some maximal and integral inequalities for sub-fractional Brownian motion

18 citations0/0 files storedStochastic Analysis and Applications

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Stochastic processes and financial applications Fractional Differential Equations Solutions Mathematical Inequalities and Applications

Abstract

We obtain a maximal inequality for sub-fractional Brownian motion with Hurst index analogous to the Burkholder–Davis–Gundy inequality for fractional Brownian motion derived by Novikov and Valkeila [Statist. Probab. Lett. 44(1999):47–54] and an integral inequality for Wiener integrals with respect to a sub-fractional Brownian motion with Hurst index .

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1989Theory of Martingales 2008Stochastic Calculus for Fractional Brownian Motion and Related Processes 2004A series expansion of fractional Brownian motion 2006Some properties of the sub-fractional Brownian motion 2010Statistical Inference for Fractional Diffusion Processes 2010Statistical inference for fractional diffusion processes 2008On the Wiener integral with respect to a sub-fractional Brownian motion on an interval 1999On some maximal inequalities for fractional Brownian motions

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