A decomposition of the bifractional Brownian motion and some applications

被引：67

作者：

Lei, Pedro ^{[1
]}

Nualart, David ^{[1
]}

机构：

[1] Univ Kansas, Dept Math, Lawrence, KS 66045 USA

来源：

STATISTICS & PROBABILITY LETTERS | 2009年 / 79卷 / 05期

关键词：

D O I：

10.1016/j.spl.2008.10.009

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper we have shown 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. (C) 2008 Elsevier B.V. All rights reserved.

引用

页码：619 / 624

页数：6

共 14 条

[11] Are classes of deterministic integrands for fractional Brownian motion on an interval complete? [J].