Fractionally Integrated Bessel Process
Year:
2021Published in:
Royal SocietyWe consider a fractionally integrated Bessel process defined by 𝑌𝛿,𝐻𝑠=∫∞0(𝑢𝐻−(1/2)−(𝑢−𝑠)𝐻−(1/2)+)d𝑋𝛿𝑢, where 𝑋𝛿Xδ is the Bessel process of dimension
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