An extension of sub-fractional Brownian motion (Q2637444): Difference between revisions

The author considers a centered Gaussian process \((S_t^{H,K})_{t\geq0}\) with covariance function \[ (t^H+s^H)^K-\tfrac12\big((t+s)^{HK}+|t-s|^{HK}\big) \] for parameters \(H\in(0,1)\), \(K\in(0,1]\), as a possible model exhibiting long range dependence, selfsimilarity, and non-stationarity of the increments. For \(K=1\), the process coincides with sub-fractional Brownian motion introduced by \textit{T. Bojdecki} et al. [Stat. Probab. Lett. 69, No. 4, 405--419 (2004; Zbl 1076.60027)]. For \(H,K\in(0,1)\), the existence of a square integrable local time is shown and upper bounds for its \(L^p\) increments are presented, showing joint continuity of the local time. Moreover, it is shown that \(S^{H,K}\) has the property of local nondeterminism. The proofs rely on a decomposition in law of sub-fractional Brownian motion as a sum of \(S^{H,K}\) and an independent integral of a deterministic function with respect to Brownian motion, which is similar to a decomposition provided by \textit{J. Ruiz de Chávez} and \textit{C. Tudor} [Math. Rep., Bucur. 11(61), No. 1, 67--74 (2009; Zbl 1199.60133)].