On the sub-mixed fractional Brownian motion

被引：0
作者：
El-Nouty Charles
Zili Mounir
机构：
[1] Université Paris XIII,Sorbonne Paris Cité, LAGA
[2] Faculty of Sciences of Monastir,Department of Mathematics
来源：
Applied Mathematics-A Journal of Chinese Universities | 2015年 / 30卷
关键词：
mixed Gaussian processes; sub-fractional Brownian motion; no stationary increments; semimartingale; convexity; 60G15; 60G17; 60G20;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
Let {StH, 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 SH lies between the sub-fractional Brownian motion and the mixed fractional Brownian motion. We also determine the values of H for which SH is not a semi-martingale.
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页码：27 / 43
页数：16
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