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

DOI10.1007/S10959-020-01068-ZzbMATH Open1484.60046arXiv2005.11602OpenAlexW3125836279MaRDI QIDQ2116488FDOQ2116488

Yuliya S. Mishura, Ehsan Azmoodeh, Farzad Sabzikar

Publication date: 17 March 2022

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

Abstract: The present paper investigates the effects of tempering the power law kernel of moving average representation of a fractional Brownian motion (fBm) on some local and global properties of this Gaussian stochastic process. Tempered fractional Brownian motion (TFBM) and tempered fractional Brownian motion of the second kind (TFBMII) are the processes that are considered in order to investigate the role of tempering. Tempering does not change the local properties of fBm including the sample paths and p-variation, but it has a strong impact on the Breuer-Major theorem, asymptotic behavior of the 3rd and 4th cumulants of fBm and the optimal fourth moment theorem.

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

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zbMATH Keywords

Malliavin calculusfractional Brownian motionlimit theoremsBreuer-Major theoremsemi-long memorytempered fractional processes

Mathematics Subject Classification ID

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

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Cited In (4)

• Feynman-Kac formula for general diffusion equations driven by TFBM with Hurst index \(H \in (0,1)\)
• A class of processes defined in the white noise space through generalized fractional operators
• On sharp rate of convergence for discretization of integrals driven by fractional Brownian motions and related processes with discontinuous integrands
• Tempered fractionally integrated process with stable noise as a transient anomalous diffusion model

Uses Software

• longmemo

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