A decomposition of the bifractional Brownian motion and some applications

Details A decomposition of the bifractional Brownian motion and some applications A decomposition of the bifractional Brownian motion and some applications

2008-03-14

arxiv.org/abs/0803.2227v1

Mathematics

Probability

Scientific paper

In this paper we show a decomposition of the bifractional Brownian motion
with parameters H,K into the sum of a fractional Brownian motion with Hurst
parameter HK plus a stochastic process with absolutely continuous trajectories.
Some applications of this decomposition are discussed.

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