Teoriya Veroyatnostei i ee Primeneniya
RUS  ENG    JOURNALS   PEOPLE   ORGANISATIONS   CONFERENCES   SEMINARS   VIDEO LIBRARY   PACKAGE AMSBIB  
General information
Latest issue
Archive
Impact factor
Guidelines for authors
Submit a manuscript

Search papers
Search references

RSS
Latest issue
Current issues
Archive issues
What is RSS


Teor. Veroyatnost. i Primenen.:
Year:
Volume:
Issue:
Page:
Find




Personal entry:
Login:
Password:
Save password
Enter
Forgotten password?
Register

Teoriya Veroyatnostei i ee Primeneniya, 2023, Volume 68, Issue 2, Pages 383–392
DOI: https://doi.org/10.4213/tvp5466 (Mi tvp5466) 		 
Short Communications

On the sum of Gaussian martingale and an independent fractional Brownian motion

R. Belfadlia, M. Chadadb, M. Erraouic

a Department of Mathematics, Faculty of Sciences and Technology, Cadi Ayyad University, Marrakech, Morocco
b Mathematics Department, Faculty of Sciences Semalalia, Cadi Ayyad University, Marrakesh, Morocco
c Mathematics Department, Faculty of Sciences, Chouaib Doukkali University, El Jadida, Morocco
Full-text PDF (388 kB)
References:
PDF
HTML
DOI: https://doi.org/10.4213/tvp5466
Abstract: In the same context as in the seminal paper [P. Cheridito, Bernoulli, 7 (2001), pp. 913–934], we are concerned with the semimartingale property of the sum of some Gaussian martingale and an independent fractional Brownian motion with Hurst parameter $H \in (0,1)$. At the same time, we emphasize that the Markov property is lost even if the martingale owns it.
Keywords: Gaussian martingale, quasimartingale, semimartingale, entropy, equivalent measure, Markov process.
Received: 18.12.2020
Revised: 25.05.2022
Accepted: 20.09.2022
English version:
Theory of Probability and its Applications, 2023, Volume 68, Issue 2, Pages 316–323
DOI: https://doi.org/10.1137/S0040585X97T991441
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: R. Belfadli, M. Chadad, M. Erraoui, “On the sum of Gaussian martingale and an independent fractional Brownian motion”, Teor. Veroyatnost. i Primenen., 68:2 (2023), 383–392; Theory Probab. Appl., 68:2 (2023), 316–323
Citation in format AMSBIB
\Bibitem{BelChaErr23}
\by R.~Belfadli, M.~Chadad, M.~Erraoui
\paper On the sum of Gaussian martingale and an independent fractional Brownian motion
\jour Teor. Veroyatnost. i Primenen.
\yr 2023
\vol 68
\issue 2
\pages 383--392
\mathnet{http://mi.mathnet.ru/tvp5466}
\crossref{https://doi.org/10.4213/tvp5466}
\transl
\jour Theory Probab. Appl.
\yr 2023
\vol 68
\issue 2
\pages 316--323
\crossref{https://doi.org/10.1137/S0040585X97T991441}
\scopus{https://www.scopus.com/record/display.url?origin=inward&eid=2-s2.0-85179346663}
Linking options:
  • https://www.mathnet.ru/eng/tvp5466
  • https://doi.org/10.4213/tvp5466
  • https://www.mathnet.ru/eng/tvp/v68/i2/p383
    • Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Теория вероятностей и ее применения Theory of Probability and its Applications
    Statistics & downloads:
    Abstract page:138
    Full-text PDF :7
    References:36
    First page:12
     
      Contact us:
    		  Terms of Use  Registration to the website  Logotypes © Steklov Mathematical Institute RAS, 2024