A set-indexed fractional Brownian motion (Q867075)

The authors present the general framework needed for set-indexed processes. They prove the existence of set-indexed fractional Brownian motion (sifBm) showing that its covariance function is positive definite. Relations with the Lévy fractional Brownian motion and with the fractional Brownian sheet are studied. The two fractal properties which are stationarity and self-similarity are investigated. It is shown that stationarity of increments can be defined in different non-equivalent ways. It is proven that there is no ``really nice'' sifBm other than siBm. It is shown that sifBm is continuous when siBm is also continuous. Finally, behavior of sifBm along increasing paths is analyzed.