Oscillatory fractional Brownian motion

DOI10.1007/S10440-013-9798-3zbMATH Open1311.60043arXiv1201.5084OpenAlexW2065160605MaRDI QIDQ385587FDOQ385587

Authors: Tomasz Bojdecki, Luis G. Gorostiza, Anna Talarczyk 

Publication date: 2 December 2013

Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)

Abstract: We introduce oscillatory analogues of fractional Brownian motion, sub-fractional Brownian motion and other related long range dependent Gaussian processes, we discuss their properties, and we show how they arise from particle systems with or without branching and with different types of initial conditions, where the individual particle motion is the so-called c-random walk on a hierarchical group. The oscillations are caused by the discrete and ultrametric structure of the hierarchical group, and they become slower as time tends to infinity and faster as time approaches zero. We also give other results to provide an overall picture of the behavior of this kind of systems, emphasizing the new phenomena that are caused by the ultrametric structure as compared with results for analogous models on Euclidean space.

Full work available at URL: https://arxiv.org/abs/1201.5084

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zbMATH Keywords

Gaussian processesbranching processeslimit theoremultrametric spaceshierarchical random walkoscillatory fractional Brownian motionoscillatory sub-fractional Brownian motionsemi-selfsimilar processes

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Functional limit theorems; invariance principles (60F17) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Self-similar stochastic processes (60G18)

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Cited In (8)

• Transience and recurrence of random walks on percolation clusters in an ultrametric space
• Statistical estimation of the oscillating Brownian motion
• Multiple logarithmic oscillations for statistical fractals on ultrametric spaces with application to recycle flows in hierarchical porous media
• Some extensions of fractional Brownian motion and sub-fractional Brownian motion related to particle systems
• Modified fractional Cauchy problem in a complex domain
• Asymptotic behavior of oscillatory fractional processes
• Random systems in ultrametric spaces
• Oscillatory fractional Brownian motion

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