Self-similarity and fractional Brownian motion on Lie groups

DOI10.1214/EJP.v13-530zbMath1189.60083arXivmath/0603199WikidataQ115240719 ScholiaQ115240719MaRDI QIDQ1039046

Fabrice Baudoin, Laure Coutin

Publication date: 20 November 2009

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0603199

zbMATH Keywords

fractional Brownian motionLie group

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Self-similar stochastic processes (60G18) Probability measures on groups or semigroups, Fourier transforms, factorization (60B15)

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A version of Hörmander's theorem for the fractional Brownian motion ⋮ Sensitivity of rough differential equations: an approach through the omega lemma ⋮ Laplace approximation for rough differential equation driven by fractional Brownian motion ⋮ Density of the signature process of fBm ⋮ Lévy processes in a step 3 nilpotent Lie group

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