Affiliation:
1. Institute of Applied Mathematics, Academy of Mathematics and System Sciences, Chinese Academy of Sciences, Beijing 100190, P. R. China
Abstract
In this paper, we construct fractional Lévy processes for any parameter H ∈ (0, 1), as the generalization of the fractional Brownian motion. By using Malliavin calculus, we also define the stochastic integral for fractional Lévy processes.
Publisher
World Scientific Pub Co Pte Lt
Subject
Applied Mathematics,Mathematical Physics,Statistics and Probability,Statistical and Nonlinear Physics
Cited by
2 articles.
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