Notes on the two-dimensional fractional Brownian motion

Fabrice Baudoin; David Nualart

doi:10.1214/009117905000000288

Notes on the two-dimensional fractional Brownian motion

概率论 2007-05-23 v1

作者: Fabrice Baudoin , David Nualart

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摘要

We study the two-dimensional fractional Brownian motion with Hurst parameter $H>{1/2}$ . 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.

关键词

fractional brownian motion brownian motion branching brownian motion

引用

@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}
}

备注

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)

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