Notes on the two-dimensional fractional Brownian motion
Probability
2007-05-23 v1
Abstract
We study the two-dimensional fractional Brownian motion with Hurst parameter . In particular, we show, using stochastic calculus, that this process admits a skew-product decomposition and deduce from this representation some asymptotic properties of the motion.
Cite
@article{arxiv.math/0602547,
title = {Notes on the two-dimensional fractional Brownian motion},
author = {Fabrice Baudoin and David Nualart},
journal= {arXiv preprint arXiv:math/0602547},
year = {2007}
}
Comments
Published at http://dx.doi.org/10.1214/009117905000000288 in the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org)