A generalisation of the fractional Brownian field based on non-Euclidean norms

DOI10.1016/J.JMAA.2015.04.085MaRDI QIDQ2348415zbMATH OpenOpenAlexFDO

Authors K. V. Ral'chenko, Ilya S. Molchanov

Publication date 12 June 2015

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1410.2523

zbMATH Keywords

fractional Brownian fieldfractional Poisson fieldMinkowski spacepolar projection bodyradial \(p\)-th mean bodyself-similar Gaussian fieldstar body

Mathematics Subject Classification ID

Gaussian processes (60G15) Self-similar stochastic processes (60G18) Fractional processes, including fractional Brownian motion (60G22) Random fields (60G60)

Abstract: We explore a generalisation of the L'evy fractional Brownian field on the Euclidean space based on replacing the Euclidean norm with another norm. A characterisation result for admissible norms yields a complete description of all self-similar Gaussian random fields with stationary increments. Several integral representations of the introduced random fields are derived. In a similar vein, several non-Euclidean variants of the fractional Poisson field are introduced and it is shown that they share the covariance structure with the fractional Brownian field and converge to it. The shape parameters of the Poisson and Brownian variants are related by convex geometry transforms, namely the radial $p$th mean body and the polar projection transforms.

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Cited in

(7)

• Nonexistence of fractional Brownian fields indexed by cylinders
• Anisotropic fractional Brownian random fields as white noise functionals
• The fractional non-homogeneous Poisson process
• Gaussian multi-self-similar random fields with distinct stationary properties of their rectangular increments
• Bifractional Brownian motions on metric spaces
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• Stable processes with stationary increments parameterized by metric spaces

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