Sub-fractional Brownian motion and its relation to occupation times
We study a long-range dependence Gaussian process which we call "sub-fractional Brownian motion" (sub-fBm), because it is intermediate between Brownian motion (Bm) and fractional Brownian motion (fBm) in the sense that it has properties analogous to those of fBm, but the increments on non-overlapping intervals are more weakly correlated and their covariance decays polynomially at a higher rate. Sub-fBm has a parameter h[set membership, variant](0,2), we show how it arises from occupation time fluctuations of branching particle systems for h[greater-or-equal, slanted]1 and we exhibit the long memory effect of the initial condition.
Year of publication: |
2004
|
---|---|
Authors: | Bojdecki, Tomasz ; Gorostiza, Luis G. ; Talarczyk, Anna |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 69.2004, 4, p. 405-419
|
Publisher: |
Elsevier |
Keywords: | Long-range dependence Fractional Brownian motion Sub-fractional Brownian motion Occupation time fluctuations Branching systems |
Saved in:
Saved in favorites
Similar items by person
-
Sub-fractional Brownian motion and its relation to occupation times
Bojdecki, Tomasz, (2004)
-
Particle picture interpretation of some Gaussian processes related to fractional Brownian motion
Bojdecki, Tomasz, (2012)
-
Particle picture approach to the self-intersection local time of density processes in
Bojdecki, Tomasz, (2005)
- More ...