A decomposition of the bifractional Brownian motion and some applications
Probability
2008-03-17 v1
Abstract
In this paper we show a decomposition of the bifractional Brownian motion with parameters H,K into the sum of a fractional Brownian motion with Hurst parameter HK plus a stochastic process with absolutely continuous trajectories. Some applications of this decomposition are discussed.
Keywords
Cite
@article{arxiv.0803.2227,
title = {A decomposition of the bifractional Brownian motion and some applications},
author = {Pedro Lei and David Nualart},
journal= {arXiv preprint arXiv:0803.2227},
year = {2008}
}