- Current Issue - Ahead of Print Articles - All Issues - Search - Open Access - Information for Authors - Downloads - Guideline - Regulations ㆍPaper Submission ㆍPaper Reviewing ㆍPublication and Distribution - Code of Ethics - For Authors ㆍOnline Submission ㆍMy Manuscript - For Reviewers - For Editors
 The law of a stochastic integral with two independent bifractional Brownian motions Commun. Korean Math. Soc. 2011 Vol. 26, No. 4, 669-684 https://doi.org/10.4134/CKMS.2011.26.4.669Published online December 1, 2011 Junfeng Liu Nanjing Audit University Abstract : 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 Downloads: Full-text PDF