Notes on the two-dimensional fractional Brownian motion (Q2493177): Difference between revisions

The authors consider a complex fractional Brownian motion with two independent fractional Brownian components having the same Hurst parameter. The aim of the paper is to use the stochastic calculus for fractional Brownian motion in order to obtain geometric properties of their two-dimensional motion as it has been made in the case of the planar Brownian motion. The key point is an analogue of the celebrated skew-product decomposition of the two-dimensional Brownian motion. From this representation some asymptotic properties of the motion are deduced. As a conclusion, it is emphasized that the study of the two-dimensional fractional Brownian motion with Hurst parameter \(H>1/2\) could seem simpler than the study of the planar Brownian motion, for which it is not possible to apply directly the ergodic theorem.