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On the sub-mixed fractional Brownian motion  [PDF]
Charles El-Nouty,Mounir Zili
Mathematics , 2012,
Abstract: Let ${S_t^H, t \geq 0} $ be a linear combination of a Brownian motion and of an independent sub-fractional Brownian motion with Hurst index $0 < H < 1$. Its main properties are studied and it is shown that $S^H $ can be considered as an intermediate process between a sub-fractional Brownian motion and a mixed fractional Brownian motion. Finally, we determine the values of $H$ for which $S^H$ is not a semi-martingale.
Mixed Sub-Fractional Brownian Motion  [PDF]
Mounir Zili
Mathematics , 2013,
Abstract: A new extension of the sub-fractional Brownian motion, and thus of the Brownian motion, is introduced. It is a linear combination of a finite number of sub-fractional Brownian motions, that we have chosen to call the mixed sub-fractional Brownian motion. In this paper, we study some basic properties of this process, its non-Markovian and non-stationarity characteristics, the conditions under which it is a semimartingale, and the main features of its sample paths. We also show that this process could serve to get a good model of certain phenomena, taking not only the sign (like in the case of the sub-fractional Brownian motion), but also the strength of dependence between the increments of this phenomena into account.
A strong uniform approximation of sub-fractional Brownian motion  [PDF]
Johanna Garzon,Luis G. Gorostiza,Jorge A. Leon
Mathematics , 2012,
Abstract: Sub-fractional Brownian motion is a process analogous to fractional Brownian motion but without stationary increments. In \cite{GGL1} we proved a strong uniform approximation with a rate of convergence for fractional Brownian motion by means of transport processes. In this paper we prove a similar type of approximation for sub-fractional Brownian motion.
Some extensions of fractional Brownian motion and sub-fractional Brownian motion related to particle systems  [PDF]
Tomasz Bojdecki,Luis G. Gorostiza,Anna Talarczyk
Mathematics , 2007, DOI: 10.1214/ECP.v12-1272
Abstract: In this paper we study three self-similar, long-range dependence, Gaussian processes. The first one, with covariance \int_0^{s\wedge t} u^a [(t-u)^b+(s-u)^b]du, parameters a>-1, -1
The Multiparameter Fractional Brownian Motion  [PDF]
Erick Herbin,Ely Merzbach
Mathematics , 2006,
Abstract: We define and study the multiparameter fractional Brownian motion. This process is a generalization of both the classical fractional Brownian motion and the multiparameter Brownian motion, when the condition of independence is relaxed. Relations with the L\'evy fractional Brownian motion and with the fractional Brownian sheet are discussed. Different notions of stationarity of the increments for a multiparameter process are studied and applied to the fractional property. Using self-similarity we present a characterization for such processes. Finally, behavior of the multiparameter fractional Brownian motion along increasing paths is analysed.
Fluctuations of the power variation of fractional Brownian motion in Brownian time  [PDF]
Raghid Zeineddine
Mathematics , 2013,
Abstract: We study the fluctuations of the power variation of fractional Brownian motion in Brownian time
Approximations of fractional Brownian motion  [PDF]
Yuqiang Li,Hongshuai Dai
Statistics , 2012, DOI: 10.3150/10-BEJ319
Abstract: Approximations of fractional Brownian motion using Poisson processes whose parameter sets have the same dimensions as the approximated processes have been studied in the literature. In this paper, a special approximation to the one-parameter fractional Brownian motion is constructed using a two-parameter Poisson process. The proof involves the tightness and identification of finite-dimensional distributions.
On the mixed fractional Brownian motion  [PDF]
Mounir Zili
International Journal of Stochastic Analysis , 2006, DOI: 10.1155/jamsa/2006/32435
Abstract: The mixed fractional Brownian motion is used in mathematical finance, in the modelling of some arbitrage-free and complete markets. In this paper, we present some stochastic properties and characteristics of this process, and we study the α-differentiability of its sample paths.
Oscillatory Fractional Brownian Motion and Hierarchical Random Walks  [PDF]
Tomasz Bojdecki,Luis G. Gorostiza,Anna Talarczyk
Mathematics , 2012, DOI: 10.1007/s10440-013-9798-3
Abstract: We introduce oscillatory analogues of fractional Brownian motion, sub-fractional Brownian motion and other related long range dependent Gaussian processes, we discuss their properties, and we show how they arise from particle systems with or without branching and with different types of initial conditions, where the individual particle motion is the so-called c-random walk on a hierarchical group. The oscillations are caused by the discrete and ultrametric structure of the hierarchical group, and they become slower as time tends to infinity and faster as time approaches zero. We also give other results to provide an overall picture of the behavior of this kind of systems, emphasizing the new phenomena that are caused by the ultrametric structure as compared with results for analogous models on Euclidean space.
Approximation of fractional Brownian motion by martingales  [PDF]
Sergiy Shklyar,Georgiy Shevchenko,Yuliya Mishura,Vadym Doroshenko,Oksana Banna
Mathematics , 2012, DOI: 10.1007/s11009-012-9313-8
Abstract: We study the problem of optimal approximation of a fractional Brownian motion by martingales. We prove that there exist a unique martingale closest to fractional Brownian motion in a specific sense. It shown that this martingale has a specific form. Numerical results concerning the approximation problem are given.
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