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

2023/04/13 by Yuliya Mishura, Mishura, Yuliya, Kostiantyn Ralchenko +1
Economics, Econometrics and Finance · Mathematics · #60G17 #60G22 #60H10 #FOS: Mathematics #Fractional Differential Equations Solutions #Probability (math.PR) #Stochastic processes and financial applications #Stochastic processes and statistical mechanics

paper · pdf · doi:10.48550/arxiv.2304.06328

openalex publication_date 2023/04/13 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

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

Related

• Fractional Bessel Process with Constant Drift: Spectral Analysis and Queueing Applications
• Fractional Bessel process with constant drift: Spectral analysis and queueing applications
• Parameter estimation in rough Bessel model
• Some Processes Associated with Fractional Bessel Processes
• Hurst index estimation in stochastic differential equations driven by fractional Brownian motion