English

Hadamard fractional Brownian motion: path properties and Wiener integration

Probability 2025-07-21 v1

Abstract

The so-called Hadamard fractional Brownian motion, as defined in Beghin et al. (2025) by means of Hadamard fractional operators, is a Gaussian process which shares some properties with standard Brownian motion (such as the one-dimensional distribution). However, it also resembles the fractional Brownian motion in many other features as, for instance, self-similarity, long/short memory property, Wiener-integral representation. The logarithmic kernel in the Hadamard fractional Brownian motion represents a very specific and interesting aspect of this process. Our aim here is to analyze some properties of the process' trajectories (i.e. H\"{o}lder continuity, quasi-helix behavior, power variation, local nondeterminism) that are both interesting on their own and serve as a basis for the Wiener integration with respect to it. The respective integration is quite well developed, and the inverse representation is also constructed. We apply the derived ``multiplicative Sonine pairs'' to the treatment of the Reproducing Kernel Hilbert Space of the Hadamard fractional Brownian motion, and, as a result, we establish a law of iterated logarithm.

Keywords

Cite

@article{arxiv.2507.13512,
  title  = {Hadamard fractional Brownian motion: path properties and Wiener integration},
  author = {Luisa Beghin and Alessandro De Gregorio and Yuliya Mishura},
  journal= {arXiv preprint arXiv:2507.13512},
  year   = {2025}
}

Comments

36 pages, 2 figures