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• W2766373169 abstract "In this paper we find a pathwise decomposition of a certain class of Brownian semistationary processes ($mathcal{BSS}$) in terms of fractional Brownian motions. To do this, we specialize in the case when the kernel of the $mathcal{BSS}$ is given by $varphi_{alpha}left(xright)=Lleft(xright)x^{alpha}$ with $alphain(-1/2,0)cup(0,1/2)$ and $L$ a continuous function slowly varying at zero. We use this decomposition to study some path properties and derive Ito's formula for this subclass of $mathcal{BSS}$ processes." @default.
• W2766373169 created "2017-11-10" @default.
• W2766373169 creator A5013484714 @default.
• W2766373169 date "2017-10-16" @default.
• W2766373169 modified "2023-09-27" @default.
• W2766373169 title "Brownian semistationary processes and related processes" @default.
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• W2766373169 hasPublicationYear "2017" @default.
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