Generalized fractional Brownian motion
Probability
2017-04-10 v1
Abstract
We introduce a new Gaussian process, a generalization of both fractional and subfractional Brownian motions, which could serve as a good model for a larger class of natural phenomena. We study its main stochastic properties and some increments characteristics. As an application, we deduce the properties of nonsemimartingality, H\"{o}lder continuity, nondifferentiablity, and existence of a local time.
Cite
@article{arxiv.1704.02103,
title = {Generalized fractional Brownian motion},
author = {Mounir Zili},
journal= {arXiv preprint arXiv:1704.02103},
year = {2017}
}
Comments
Published at http://dx.doi.org/10.15559/16-VMSTA71 in the Modern Stochastics: Theory and Applications (https://www.i-journals.org/vtxpp/VMSTA) by VTeX (http://www.vtex.lt/)