Bifractional Brownian motion: Existence and border cases

M. Lifshits, K. Volkova

Research output

8 Citations (Scopus)

Abstract

© EDP Sciences, SMAI, 2015.Bifractional Brownian motion (bfBm) is a centered Gaussian process with covariance R(H,K)(s,t) = 2-K((|s|2H + |t|2H)K -|t -s|2HK), s,t πR. We study the existence of bfBm for a given pair of parameters (h,k) and encounter some related limiting processes.
Original languageEnglish
Pages (from-to)766-781
JournalESAIM - Probability and Statistics
DOIs
Publication statusPublished - 2015

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