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On the construction of Wiener integrals with respect to certain pseudo-Bessel processes

✍ Scribed by T. Funaki; Y. Hariya; F. Hirsch; M. Yor


Book ID
108266803
Publisher
Elsevier Science
Year
2006
Tongue
English
Weight
360 KB
Volume
116
Category
Article
ISSN
0304-4149

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Inequalities for the moments of Wiener i
✍ Jean MΓ©min; Yulia Mishura; Esko Valkeila πŸ“‚ Article πŸ“… 2001 πŸ› Elsevier Science 🌐 English βš– 115 KB

We study the possibility to control the moments of Wiener integrals of fractional Brownian motion with respect to the L p -norm of the integrand. It turns out that when the self-similarity index H ΒΏ 1 2 , we can have only an upper inequality, and when H Β‘ 1 2 we can have only a lower inequality.