Particle picture interpretation of some Gaussian processes related to fractional Brownian motion

Details Particle picture interpretation of some Gaussian processes related to fractional Brownian motion Particle picture interpretation of some Gaussian processes related to fractional Brownian motion

2011-08-13

arxiv.org/abs/1108.2745v1

Mathematics

Probability

Scientific paper

10.1016/j.spa.2012.03.004

We construct fractional Brownian motion (fBm), sub-fractional Brownian motion (sub-fBm), negative sub-fractional Brownian motion (nsfBm) and the odd part of fBm in the sense of Dzhaparidze and van Zanten (2004) by means of limiting procedures applied to some particle systems. These processes are obtained for full ranges of Hurst parameter. Particle picture interpretations of sub-fBm and nsfBm were known earlier (using a different approach) for narrow ranges of parameters; the odd part of fBm process had not been given any physical interpretation at all. Our approach consists in representing these processes as $$, $$, $$, respectively, where X(1) is an (extended) $S'$-random variable obtained as the fluctuation limit of either empirical process or the occupation time process of an appropriate particle system. In fact, our construction is more general, permitting to obtain some new Gaussian processes, as well as multidimensional random fields. In particular, we generalize and presumably simplify some results by Hambly and Jones (2007). We also obtain a new class of $S'$-valued density processes, containing as a particular case the density process of Martin-L\"of (1976).

Affiliated with

Also associated with

No associations

Rating

Particle picture interpretation of some Gaussian processes related to 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 Particle picture interpretation of some Gaussian processes related to fractional Brownian motion, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Particle picture interpretation of some Gaussian processes related to fractional Brownian motion will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-635816