Author's: Guangjun Shena and Litan Yan
Pages: [219] - [239]
Received Date: October 27, 2010
Submitted by:
We develop a stochastic calculus for the sub-fractional Brownian
motion with index by using the techniques of the Malliavin
calculus. We establish estimates in
maximal inequalities for the divergence
integral with respect to sub-fractional Brownian motion. We also study
the
variation of the divergence integral and
generalize the result of sub-fractional Brownian motion for this
divergence integral.
sub-fractional Brownian motion, Malliavin calculus, divergence integral, p-variation.