Local independence of fractional Brownian motion
Probability
2007-11-30 v1 Information Theory
math.IT
Abstract
Let S(t,t') be the sigma-algebra generated by the differences X(s)-X(s) with s,s' in the interval(t,t'), where (X_t) is the fractional Brownian motion process with Hurst index H between 0 and 1. We prove that for any two distinct t and t' the sigma-algebras S(t-a,t+a) and S(t'-a,t'+a) are asymptotically independent as a tends to 0. We show this in the strong sense that Shannon's mutual information between these two sigma-algebras tends to zero as a tends to 0. Some generalizations and quantitative estimates are provided also.
Keywords
Cite
@article{arxiv.0711.4809,
title = {Local independence of fractional Brownian motion},
author = {Ilkka Norros and Eero Saksman},
journal= {arXiv preprint arXiv:0711.4809},
year = {2007}
}
Comments
17 pages