scholarly journals Nonparametric Regression with Subfractional Brownian Motion via Malliavin Calculus

2014 ◽  
Vol 2014 ◽  
pp. 1-14
Author(s):  
Yuquan Cang ◽  
Junfeng Liu ◽  
Yan Zhang
Keyword(s):  
Asymptotic Behavior ◽  
Brownian Motion ◽  
Fractional Brownian Motion ◽  
Nonparametric Regression ◽  
Local Time ◽  
Kernel Function ◽  
Malliavin Calculus ◽  
Bandwidth Parameter ◽  
Subfractional Brownian Motion ◽  
Normal Law

We study the asymptotic behavior of the sequenceSn=∑i=0n-1K(nαSiH1)(Si+1H2-SiH2),asntends to infinity, whereSH1andSH2are two independent subfractional Brownian motions with indicesH1andH2, respectively.Kis a kernel function and the bandwidth parameterαsatisfies some hypotheses in terms ofH1andH2. Its limiting distribution is a mixed normal law involving the local time of the sub-fractional Brownian motionSH1. We mainly use the techniques of Malliavin calculus with respect to sub-fractional Brownian motion.

Drift Parameter Estimation for a Reflected Fractional Brownian Motion Based on its Local Time

2013 ◽  
Vol 50 (02) ◽  
pp. 592-597 ◽  
Author(s):  
Yaozhong Hu ◽  
Chihoon Lee
Keyword(s):  
Parameter Estimation ◽  
Brownian Motion ◽  
Fractional Brownian Motion ◽  
Local Time ◽  
Heavy Traffic ◽  
Queueing Systems ◽  
Service Rate ◽  
Time Process ◽  
State Process ◽  
Drift Parameter

We consider a drift parameter estimation problem when the state process is a reflected fractional Brownian motion (RFBM) with a nonzero drift parameter and the observation is the associated local time process. The RFBM process arises as the key approximating process for queueing systems with long-range dependent and self-similar input processes, where the drift parameter carries the physical meaning of the surplus service rate and plays a central role in the heavy-traffic approximation theory for queueing systems. We study a statistical estimator based on the cumulative local time process and establish its strong consistency and asymptotic normality.

scholarly journals The generalized quadratic covariation for fractional Brownian motion with Hurst index less than 1/2

2014 ◽  
Vol 17 (04) ◽  
pp. 1450030 ◽  
Author(s):  
Litan Yan ◽  
Junfeng Liu ◽  
Chao Chen
Keyword(s):  
Banach Space ◽  
Brownian Motion ◽  
Fractional Brownian Motion ◽  
Local Time ◽  
Borel Function ◽  
Time Dependent ◽  
Hurst Index ◽  
Dependent Case ◽  
Measurable Functions ◽  
Quadratic Covariation

In this paper, we study the generalized quadratic covariation of f(BH) and BH defined by [Formula: see text] in probability, where f is a Borel function and BH is a fractional Brownian motion with Hurst index 0 < H < 1/2. We construct a Banach space [Formula: see text] of measurable functions such that the generalized quadratic covariation exists in L2(Ω) and the Bouleau–Yor identity takes the form [Formula: see text] provided [Formula: see text], where [Formula: see text] is the weighted local time of BH. These are also extended to the time-dependent case, and as an application we give the identity between the generalized quadratic covariation and the 4-covariation [g(BH), BH, BH, BH] when [Formula: see text].

Regularity of the Local Time for the d-dimensional Fractional Brownian Motion with N-parameters

2005 ◽  
Vol 23 (2) ◽  
pp. 383-400 ◽  
Author(s):  
M. Eddahbi ◽  
R. Lacayo ◽  
J. L. Solé ◽  
J. Vives ◽  
C. A. Tudor
Keyword(s):  
Brownian Motion ◽  
Fractional Brownian Motion ◽  
Local Time
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