The Multiparameter Fractional Brownian Motion

DOI10.1007/978-3-540-44446-6_8MaRDI QIDQ5434319zbMATH OpenOpenAlexFDO

Authors Erick Herbin, Ely Merzbach

Publication date 4 January 2008

Published in Math Everywhere (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0605279

zbMATH Keywords

self-similarityfractional Brownian sheetLévy fractional Brownian motion

Mathematics Subject Classification ID

Gaussian processes (60G15) Brownian motion (60J65)

Abstract: We define and study the multiparameter fractional Brownian motion. This process is a generalization of both the classical fractional Brownian motion and the multiparameter Brownian motion, when the condition of independence is relaxed. Relations with the L'evy fractional Brownian motion and with the fractional Brownian sheet are discussed. Different notions of stationarity of the increments for a multiparameter process are studied and applied to the fractional property. Using self-similarity we present a characterization for such processes. Finally, behavior of the multiparameter fractional Brownian motion along increasing paths is analysed.

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