Sample path properties of bifractional Brownian motion

DOI10.3150/07-BEJ6110zbMATH Open1132.60034arXivmath/0606753OpenAlexW2149660993MaRDI QIDQ2469664FDOQ2469664

Authors: Ciprian A. Tudor, Y. Xiao 

Publication date: 6 February 2008

Published in: Bernoulli (Search for Journal in Brave)

Abstract: Let $$ be a bifractional Brownian motion in $R^d$. We prove that $B^{H,K}$ is strongly locally nondeterministic. Applying this property and a stochastic integral representation of $B^{H,K}$, we establish Chung's law of the iterated logarithm for $B^{H,K}$, as well as sharp H"older conditions and tail probability estimates for the local times of $B^{H,K}$. We also consider the existence and the regularity of the local times of multiparameter bifractional Brownian motion $$ in $R^d$ using Wiener-It^o chaos expansion.

Full work available at URL: https://arxiv.org/abs/math/0606753

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zbMATH Keywords

bifractional Brownian motionHausdorff dimensionchaos expansionlevel setlocal timessmall ball probabilityChung's law of the iterated logarithmself-similar Gaussian processesmultiple Wiener-Itô stochastic integrals

Mathematics Subject Classification ID

Gaussian processes (60G15) Sample path properties (60G17) Local time and additive functionals (60J55)

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