数学物理学报(英文版) ›› 2013, Vol. 33 ›› Issue (4): 901-912.doi: 10.1016/S0252-9602(13)60049-1

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POWER VARIATION OF SUBFRACTIONAL BROWNIAN MOTION AND APPLICATION

申广君*|闫理坦|刘俊峰   

  1. Department of Mathematics, Anhui Normal University, Wuhu 241000, China; Department of Mathematics, Donghua University, Shanghai 201620, China; School of Mathematics and Statistics, Nanjing Audit University, Nanjing 211815, China
  • 收稿日期:2012-08-13 修回日期:2012-11-02 出版日期:2013-07-20 发布日期:2013-07-20
  • 通讯作者: guangjunshen@yahoo.com.cn E-mail:guangjunshen@yahoo.com.cn;litanyan@dhu.edu.cn;jordanjunfeng@163.com
  • 基金资助:

    Guangjun Shen is partially supported by National Natural Science Foundation of China (11271020), Natural Science Foundation of Anhui Province
    (1208085MA11, 1308085QA14) and Key Natural Science Foundation of Anhui Educational Committee (KJ2011A139, KJ2012ZD01, KJ2013A133). Litan Yan is partially supported by National Natural Science Foundation of China (11171062), Innovation Program of Shanghai Municipal Education Commission (12ZZ063). Junfeng Liu is partially supported by Mathematical Tianyuan Foundation of China (11226198).

POWER VARIATION OF SUBFRACTIONAL BROWNIAN MOTION AND APPLICATION

 SHEN Guang-Jun*, YAN Li-Tan, LIU Jun-Feng   

  1. Department of Mathematics, Anhui Normal University, Wuhu 241000, China; Department of Mathematics, Donghua University, Shanghai 201620, China; School of Mathematics and Statistics, Nanjing Audit University, Nanjing 211815, China
  • Received:2012-08-13 Revised:2012-11-02 Online:2013-07-20 Published:2013-07-20
  • Contact: guangjunshen@yahoo.com.cn E-mail:guangjunshen@yahoo.com.cn;litanyan@dhu.edu.cn;jordanjunfeng@163.com
  • Supported by:

    Guangjun Shen is partially supported by National Natural Science Foundation of China (11271020), Natural Science Foundation of Anhui Province
    (1208085MA11, 1308085QA14) and Key Natural Science Foundation of Anhui Educational Committee (KJ2011A139, KJ2012ZD01, KJ2013A133). Litan Yan is partially supported by National Natural Science Foundation of China (11171062), Innovation Program of Shanghai Municipal Education Commission (12ZZ063). Junfeng Liu is partially supported by Mathematical Tianyuan Foundation of China (11226198).

摘要:

In this paper, we consider the power variation of subfractional Brownian mo-tion. As an application, we introduce a class of estimators for the index of a subfractional Brownian motion and show that they are strongly consistent.

关键词: subfractional Brownian motion, power variation, strongly consistent

Abstract:

In this paper, we consider the power variation of subfractional Brownian mo-tion. As an application, we introduce a class of estimators for the index of a subfractional Brownian motion and show that they are strongly consistent.

Key words: subfractional Brownian motion, power variation, strongly consistent

中图分类号: 

  • 60G15