From $N$ Parameter Fractional Brownian Motions to $N$ Parameter Multifractional Brownian Motions
نویسندگان
چکیده
منابع مشابه
Are fractional Brownian motions predictable?
We provide a device, called the local predictor, which extends the idea of the predictable compensator. It is shown that a fBm with the Hurst index greater than 1/2 coincides with its local predictor while fBm with the Hurst index smaller than 1/2 does not admit any local predictor. Mathematics Subject Classification (2000). Primary 60G07; Secondary 60G15, 60G48, 60G25.
متن کاملIntroduction to Brownian Motions
This paper aims to present some basic facts about Brownian Motions. It will assume a basic familiarity with probability and random variables. It will begin by defining Brownian Motion in one dimension on the dyadic rationals using a countable number of random variables and then proceed to generalize this to the real line using a continuity argument. Some other consequences of continuity will be...
متن کامل9 Are fractional Brownian motions predictable ?
We provide a device, called the local predictor, which extends the idea of the predictable compensator. It is shown that a fBm with the Hurst index greater than 1/2 coincides with its local predictor while fBm with the Hurst index smaller than 1/2 does not admit any local predictor. 1 Intoduction The question in the title is provocative, of course. Everybody familiar with the theory of stochast...
متن کاملThe Large-N Limits of Brownian Motions on GLN
We introduce a two-parameter family of diffusion processes (B r,s(t))t≥0, r, s > 0, on the general linear group GLN that are Brownian motions with respect to certain natural metrics on the group. At the same time, we introduce a two-parameter family of free Itô processes (br,s(t))t≥0 in a faithful, tracial W ∗-probability space, and we prove that the full process (B r,s(t))t≥0 converges to (br,...
متن کاملBouncing skew Brownian motions
We consider two skew Brownian motions, driven by the same Brownian motion, with different starting points and different skewness coefficients. In [13], the evolution of the distance between the two processes, in local time scale and up to their first hitting time is shown to satisfy a stochastic differential equation with jumps. The jumps of this S.D.E. are naturally driven by the excursion pro...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Rocky Mountain Journal of Mathematics
سال: 2006
ISSN: 0035-7596
DOI: 10.1216/rmjm/1181069415