Karhunen-Loève expansion of a set indexed fractional Brownian motion

DOI10.1016/J.SPL.2019.108629MaRDI QIDQ2288771zbMATH OpenOpenAlexFDO

Authors Arthur Yosef, Amos Baranes

Publication date 20 January 2020

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2019.108629

zbMATH Keywords

flowfractional Brownian motionKarhunen-Loèveset indexed

Mathematics Subject Classification ID

Gaussian processes (60G15) Sample path properties (60G17) Fractional processes, including fractional Brownian motion (60G22) Brownian motion (60J65)

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Cites work

• A characterization of the set-indexed fractional Brownian motion by increasing paths
• A set-indexed fractional Brownian motion
• scientific article; zbMATH DE number 1981889 (Why is no real title available?)
• scientific article; zbMATH DE number 5055767 (Why is no real title available?)
• scientific article; zbMATH DE number 3269607 (Why is no real title available?)
• Reproducing kernel spaces and applications
• Set indexed strong martingales and path independent variation
• Set-indexed Brownian motion on increasing paths
• Stochastic integrals in the plane
• The Multiparameter Fractional Brownian Motion

Cited in

(4)

• Stationarity and self-similarity characterization of the set-indexed fractional Brownian motion
• Karhunen-Loève expansion for additive Brownian motions
• Karhunen-Loève expansion for stochastic convolution of cylindrical fractional Brownian motions
• A characterization of the set-indexed fractional Brownian motion by increasing paths

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