How does tempering affect the local and global properties of fractional Brownian motion?

DOI10.1007/s10959-020-01068-zzbMath1484.60046arXiv2005.11602OpenAlexW3125836279MaRDI QIDQ2116488

Ehsan Azmoodeh, Farzad Sabzikar, Yuliya S. Mishura

Publication date: 17 March 2022

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

Full work available at URL: https://arxiv.org/abs/2005.11602

zbMATH Keywords

fractional Brownian motionMalliavin calculuslimit theoremsBreuer-Major theoremsemi-long memorytempered fractional processes

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stochastic calculus of variations and the Malliavin calculus (60H07) Functional limit theorems; invariance principles (60F17)

Related Items (2)

Tempered fractionally integrated process with stable noise as a transient anomalous diffusion model ⋮ On sharp rate of convergence for discretization of integrals driven by fractional Brownian motions and related processes with discontinuous integrands

Uses Software

• longmemo

Cites Work

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