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Some Properties of Bifractional Bessel Processes Driven by Bifractional Brownian Motion

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  • Xichao Sun
  • Rui Guo
  • Ming Li

Abstract

Let be a - dimensional bifractional Brownian motion and be the bifractional Bessel process with the index . The Itô formula for the bifractional Brownian motion leads to the equation . In the Brownian motion case and , is a Brownian motion by Lévy’s characterization theorem. In this paper, we prove that process is not a bifractional Brownian motion unless and . We also study some other properties and their application of this stochastic process.

Suggested Citation

  • Xichao Sun & Rui Guo & Ming Li, 2020. "Some Properties of Bifractional Bessel Processes Driven by Bifractional Brownian Motion," Mathematical Problems in Engineering, Hindawi, vol. 2020, pages 1-13, October.
    • Handle: RePEc:hin:jnlmpe:7037602
    DOI: 10.1155/2020/7037602
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    Cited by:

    1. Mishura, Yuliya & Ralchenko, Kostiantyn, 2024. "Fractional diffusion Bessel processes with Hurst index H∈(0,12)," Statistics & Probability Letters, Elsevier, vol. 206(C).

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