Multi-dimensional fractional Brownian motion in the G-setting
Probability
2024-12-03 v3 Mathematical Finance
Abstract
In this paper we introduce a definition of a multi-dimensional fractional Brownian motion of Hurst index under volatility uncertainty (in short G-fBm). We study the properties of such a process and provide first results about stochastic calculus with respect to a fractional G-Brownian motion for a Hurst index .
Keywords
Cite
@article{arxiv.2312.12139,
title = {Multi-dimensional fractional Brownian motion in the G-setting},
author = {Francesca Biagini and Andrea Mazzon and Katharina Oberpriller},
journal= {arXiv preprint arXiv:2312.12139},
year = {2024}
}
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33 pages