Communications of the
Korean Mathematical Society CKMS

In this note, we obtain the expression of the characteristic fucntion of the random variable $\int_0^TB_s^{\alpha,\beta} dB_s^{H,K}$, where $B^{\alpha,\beta}$ and $B^{H,K}$ are two independent bifractional Brownian motions with indices $\alpha \in(0, 1), \beta\in(0, 1]$ and $HK\in(\frac{1}{2}, 1)$, respectively.

Keywords: bifractional Brownian motion, stochastic integral, characteristic function

MSC numbers: 60H05, 60H07