Strong local nondeterminism of spherical fractional Brownian motion

Local independence of fractional Brownian motion

Let S(t,t') be the sigma-algebra generated by the differences X(s)-X(s) with s,s' in the interval(t,t'), where (X_t) is the fractional Brownian motion process with Hurst index H between 0 and 1. We prove that for any two distinct t and t' the sigma-algebras S(t-a,t+a) and S(t'-a,t'+a) are asymptotically independent as a tends to 0. We show this in the strong sense that Shannon's mutual informat...

Lacunary Fractional Brownian Motion

In this paper, a new class of Gaussian field is introduced called Lacunary Fractional Brownian Motion. Surprisingly we show that usually their tangent fields are not unique at every point. We also investigate the smoothness of the sample paths of Lacunary Fractional Brownian Motion using wavelet analysis.

Tempered fractional Brownian motion

Renormalized Self - Intersection Local Time for Fractional Brownian Motion

Let B H t be a d-dimensional fractional Brownian motion with Hurst parameter H ∈ (0, 1). Assume d ≥ 2. We prove that the renor-malized self-intersection local time ℓ = T 0 t 0 δ(B H t − B H s) ds dt − E T 0 t 0 δ(B H t − B H s) ds dt exists in L 2 if and only if H < 3/(2d), which generalizes the Varadhan renormalization theorem to any dimension and with any Hurst parameter. Motivated by a resul...

Large deviations for local time fractional Brownian motion and applications

Article history: Received 19 December 2007 Available online 9 June 2008 Submitted by M. Ledoux