Bifractional Brownian motion: Existence and border cases

M. Lifshits; K. Volkova

doi:10.1051/ps/2015015

Bifractional Brownian motion: Existence and border cases

M. Lifshits, K. Volkova

Кафедра теории вероятностей и математической статистики

Результат исследований: Научные публикации в периодических изданиях › статья

8 Цитирования (Scopus)

Аннотация

© 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.

Язык оригинала	английский
Страницы (с-по)	766-781
Журнал	ESAIM - Probability and Statistics
DOI	https://doi.org/10.1051/ps/2015015
Состояние	Опубликовано - 2015

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10.1051/ps/2015015

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title = "Bifractional Brownian motion: Existence and border cases",

abstract = "{\textcopyright} 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.",

author = "M. Lifshits and K. Volkova",

year = "2015",

doi = "10.1051/ps/2015015",

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journal = "ESAIM - Probability and Statistics",

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AU - Lifshits, M.

AU - Volkova, K.

PY - 2015

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AB - © 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.

U2 - 10.1051/ps/2015015

DO - 10.1051/ps/2015015

M3 - Article

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JO - ESAIM - Probability and Statistics

JF - ESAIM - Probability and Statistics

SN - 1292-8100

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