On the sub-mixed fractional Brownian motion

被引：0

作者：

El-Nouty Charles ^{[1
]}

Zili Mounir ^{[2
]}

机构：

[1] Universite Paris XIII

来源：

Applied Mathematics:A Journal of Chinese Universities | 2015年 / 01期

关键词：

mixed Gaussian processes; sub-fractional Brownian motion; no stationary increments; semimartingale; convexity;

D O I：

暂无

中图分类号：

O211.6 [随机过程];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Let {SHt, t ≥ 0} be a linear combination of a Brownian motion and an independent sub-fractional Brownian motion with Hurst index 0 < H < 1. Its main properties are studied.They suggest that SHlies between the sub-fractional Brownian motion and the mixed fractional Brownian motion. We also determine the values of H for which SHis not a semi-martingale.

引用

页码：27 / 43

页数：17

共 5 条

[1]

On the mixed fractional Brownian motion[J] . Mounir Zili.Journal of Applied Mathematics and Stochastic Analysis . 2006

[2] Fractional Brownian density process and its self-intersection local time of order k [J].