Particle picture interpretation of some Gaussian processes related to fractional Brownian motion

DOI10.1016/J.SPA.2012.03.004zbMATH Open1242.60036arXiv1108.2745OpenAlexW2130488824MaRDI QIDQ424526FDOQ424526

Authors: Tomasz Bojdecki, Anna Talarczyk 

Publication date: 1 June 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: We construct fractional Brownian motion (fBm), sub-fractional Brownian motion (sub-fBm), negative sub-fractional Brownian motion (nsfBm) and the odd part of fBm in the sense of Dzhaparidze and van Zanten (2004) by means of limiting procedures applied to some particle systems. These processes are obtained for full ranges of Hurst parameter. Particle picture interpretations of sub-fBm and nsfBm were known earlier (using a different approach) for narrow ranges of parameters; the odd part of fBm process had not been given any physical interpretation at all. Our approach consists in representing these processes as $<X(1),1_{[0,t]}>$, $<X(1),1_{[0,t]}-1_{[-t,0]}>$, $<X(1),1_{[-t,t]}>$, respectively, where X(1) is an (extended) $S^{\prime }$-random variable obtained as the fluctuation limit of either empirical process or the occupation time process of an appropriate particle system. In fact, our construction is more general, permitting to obtain some new Gaussian processes, as well as multidimensional random fields. In particular, we generalize and presumably simplify some results by Hambly and Jones (2007). We also obtain a new class of $S^{\prime }$-valued density processes, containing as a particular case the density process of Martin-L"of (1976).

Full work available at URL: https://arxiv.org/abs/1108.2745

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zbMATH Keywords

fractional Brownian motionparticle systemsub-fractional Brownian motiondensity processnegative sub-fractional Brownian motionoccupation time fluctuation limit

Mathematics Subject Classification ID

Gaussian processes (60G15) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Generalized stochastic processes (60G20) Stable stochastic processes (60G52)

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Cited In (9)

• Title not available (Why is that?)
• A note on Riemann-Liouville processes
• Self-similar stochastic processes with stationary increments as limits of particle systems
• A simple construction of the fractional Brownian motion.
• Some extensions of fractional Brownian motion and sub-fractional Brownian motion related to particle systems
• A class of fractional Brownian fields from branching systems and their regularity properties
• Title not available (Why is that?)
• From intersection local time to the Rosenblatt process
• Oscillatory fractional Brownian motion

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