Acta mathematica scientia,Series B ›› 2013, Vol. 33 ›› Issue (4): 901-912.doi: 10.1016/S0252-9602(13)60049-1

• Articles • Previous Articles     Next Articles

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).

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

CLC Number: 

  • 60G15
Trendmd