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arXiv · 2304.06328

Fractional diffusion Bessel processes with Hurst index $H\in(0,\frac12)$

Yuliya Mishura·Kostiantyn Ralchenko
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Abstract

We introduce fractional diffusion Bessel process with Hurst index $H\in(0,\frac12)$, derive a stochastic differential equation for it, and study the asymptotic properties of its sample paths.

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Yuliya Mishura, Kostiantyn Ralchenko. 2023-04-13. Fractional diffusion Bessel processes with Hurst index $H\in(0,\frac12)$. https://arxiv.org/abs/2304.06328

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