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ABSTRACTWe 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]… Click to show full abstract
ABSTRACTWe 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 .
Keywords:
maximal integral;
integral inequalities;
fractional brownian;
brownian motion;
sub fractional
Journal Title: Stochastic Analysis and Applications
Year Published: 2017
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Journal Title: Stochastic Analysis and Applications
Year Published: 2017
Link to full text (if available)
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recommendations!