Fractional Brownian motion with variable Hurst parameter: definition and properties (Q895895): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W2081671937 / rank | |||
Normal rank |
Revision as of 22:35, 19 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Fractional Brownian motion with variable Hurst parameter: definition and properties |
scientific article |
Statements
Fractional Brownian motion with variable Hurst parameter: definition and properties (English)
0 references
7 December 2015
0 references
The author introduces a class of Gaussian processes generalizing the fractional Brownian motion with Hurst index \(H\in (1/2,1).\) Any measurable function attaining values in the interval \((1/2,1)\) can be chosen as a variable Hurst parameter for this new class. These processes allow modeling of phenomena where long-range dependence is present and self-similarity changes as the phenomenon evolves. Sample path properties of these processes are investigated. Fokker-Plank-type equations for such processes are derived. It is found that the regularity properties of the chosen Hurst function directly correspond to the regularity of the sample paths of the process. Reviewer's comments: Such processes are also called locally self-similar. \textit{P. Gonçalves} and \textit{P. Flandrin} [in: Progress in wavelet analysis and applications. Proceedings of the 3rd international conference on wavelets and applications, Toulouse, France, 1992. Gif-sur-Yvette: Editions Frontières, 271--276 (1993; Zbl 0878.94024)] proposed such processes. \textit{Y.-Z. Wang} et al. [J. Stat. Plann. Inference 99, No. 1, 91--110 (2001; Zbl 0989.62045)] studied estimations of the self-similarity index for locally self-similar processes (cf. [\textit{B. L. S. Prakasa Rao}, Statistical inference for fractional diffusion processes. Wiley Series in Probability and Statistics. Chichester: John Wiley \& Sons (2010; Zbl 1211.62143)]).
0 references
fractional Brownian motion
0 references
variable Hurst parameter
0 references
Gaussian processes
0 references
self-similarity
0 references
sample path regularity
0 references