|
|||||
|
|
Some properties of the sub-fractional Brownian motion |
|
| Abstract: | We study several properties of the sub-fractional Brownian motion (fBm) introduced by Bojdecki et al. related to those of the fBm. This process is a self-similar Gaussian process depending on a parameter H ∈ (0, 2) with non stationary increments and is a generalization of the Brownian motion (Bm). The strong variation of the indefinite stochastic integral with respect to sub-fBm is also discussed. |
| Keywords: | Brownian motion Fractional Brownian motion Sub-fractional Brownian motion Self-similar processes Stochastic integral Strong variation |