Bifractional Brownian motion: existence and border cases

Mikhail Lifshits; Ksenia Volkova

Bifractional Brownian motion: existence and border cases

Probability 2019-07-04 v3

Authors: Mikhail Lifshits , Ksenia Volkova

Abstract

Bifractional Brownian motion (bfBm) is a centered Gaussian process with covariance $R^{(H,K)}(s,t)= 2^{-K} \left( \left(|s|^{2H}+|t|^{2H} \right)^{K}-|t-s|^{2HK}\right), \qquad s,t\in R.$ We study the existence of bfBm for a given pair of parameters $(H,K)$ and encounter some related limiting processes.

Keywords

brownian motion fractional brownian motion branching brownian motion

Cite

@article{arxiv.1502.02217,
  title  = {Bifractional Brownian motion: existence and border cases},
  author = {Mikhail Lifshits and Ksenia Volkova},
  journal= {arXiv preprint arXiv:1502.02217},
  year   = {2019}
}

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