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Singularity of generalized grey Brownian motions with different parameters |
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| Authors: | José Luís da Silva Mohamed Erraoui |
| Affiliation: | 1. CIMA, University of Madeira, Funchal, Portugal;2. Département de Mathématiques, Faculté des Sciences Semlalia, Université Cadi Ayyad, Marrakech, Maroc |
| Abstract: | In this note we prove that the probability measures generated by two generalized grey Brownian motions with different parameters are singular with respect to each other. This result can be interpreted as an extension of the Feldman–Hájek dichotomy of Gaussian measures to a family of non-Gaussian measures. |
| Keywords: | Generalized grey Brownian motion fractional Brownian motion p-variation mixing ergodicity |