JOURNAL OF SHANDONG UNIVERSITY(NATURAL SCIENCE) ›› 2015, Vol. 50 ›› Issue (06): 19-26.doi: 10.6040/j.issn.1671-9352.0.2014.234

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Power variation of weighted-fractional Brownian motion and application

DENG Long-juan, ZHU Dong-jin, SHEN Guang-jun   

  1. Department of Mathematics, Anhui Normal University, Wuhu 241000, Anhui, China
  • Received:2014-05-27 Revised:2015-01-13 Online:2015-06-20 Published:2015-07-31

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Abstract: The power variation of weighted-fractional Brownian motion was considened by using its stochastic calculus representation. As an application, the estimate of parameter b was obtainted.

Key words: weighted-fractional Brownian motion, power variation, strongly consistent

CLC Number: 

  • O211.6
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