Path properties of a generalized fractional Brownian motion

DOI10.1007/S10959-020-01066-1zbMATH Open1495.60023arXiv2009.07788OpenAlexW3120527024MaRDI QIDQ2116490FDOQ2116490

Murad S. Taqqu, Tomoyuki Ichiba, Guodong Pang

Publication date: 17 March 2022

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

Abstract: The generalized fractional Brownian motion is a Gaussian self-similar process whose increments are not necessarily stationary. It appears in applications as the scaling limit of a shot noise process with a power law shape function and non-stationary noises with a power-law variance function. In this paper we study sample path properties of the generalized fractional Brownian motion, including Holder continuity, path differentiability/non-differentiability, and functional and local Law of the Iterated Logarithms.

Full work available at URL: https://arxiv.org/abs/2009.07788

zbMATH Keywords

[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=H%EF%BF%BD%EF%BF%BDlder+continuity&go=Go H��lder continuity]generalized fractional Brownian motionGaussian self-similar processfunctional and local law of iterated logarithmsnon-stationary incrementspath differentiability/non-differentiability

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Sample path properties (60G17) Self-similar stochastic processes (60G18) Foundations of stochastic processes (60G05)

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Cited In (15)

• Exact uniform modulus of continuity and Chung's LIL for the generalized fractional Brownian motion
• Lower functions and Chung's LILs of the generalized fractional Brownian motion
• Random variables as pathwise integrals with respect to fractional Brownian motion
• On the Gaussian Volterra processes with power-type kernels
• Fractional Lévy motion through path integrals
• Path integral for the probability of the trajectories generated by fractional dynamics subject to Gaussian white noise
• Path properties of the primitives of a Brownian motion
• Interest rate derivatives for the fractional Cox-Ingersoll-Ross model
• Mixtures of higher-order fractional Brownian motions
• A \(K\)-rough path above the space-time fractional Brownian motion
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• A construction of the rough path above fractional Brownian motion using Volterra's representation
• Some singular sample path properties of a multiparameter fractional Brownian motion

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