Notes on the two-dimensional fractional Brownian motion

Details Notes on the two-dimensional fractional Brownian motion Notes on the two-dimensional fractional Brownian motion

2006-02-24

arxiv.org/abs/math/0602547v1

Annals of Probability 2006, Vol. 34, No. 1, 159-180

Mathematics

Probability

Published at http://dx.doi.org/10.1214/009117905000000288 in the Annals of Probability (http://www.imstat.org/aop/) by the Ins

Scientific paper

10.1214/009117905000000288

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.

Affiliated with

Also associated with

No associations

Rating

Notes on the two-dimensional fractional Brownian motion does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Notes on the two-dimensional fractional Brownian motion, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Notes on the two-dimensional fractional Brownian motion will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-224144