Stochastic analysis for vector-valued generalized grey Brownian motion

DOI10.1090/TPMS/1184MaRDI QIDQ6040482zbMATH OpenOpenAlexFDO

Authors W. Bock, Martin Grothaus

Publication date 17 May 2023

Published in Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2111.09229, https://kluedo.ub.rptu.de/files/7139/Dissertation_Orge.pdf

zbMATH Keywords

local timegeneralized functionslinear stochastic differential equationsnon-Gaussian analysisMittag-Leffler analysisvector-valued generalized grey Brownian motion

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalized stochastic processes (60G20) Mittag-Leffler functions and generalizations (33E12) Integral transforms in distribution spaces (46F12) Distributions on infinite-dimensional spaces (46F25)

Abstract: In this article, we show that the standard vector-valued generalization of a generalized grey Brownian motion (ggBm) has independent components if and only if it is a fractional Brownian motion. In order to extend ggBm with independent components, we introduce a vector-valued generalized grey Brownian motion (vggBm). The characteristic function of the corresponding measure is introduced as the product of the characteristic functions of the one-dimensional case. We show that for this measure, the Appell system and a calculus of generalized functions or distributions are accessible. We characterize these distributions with suitable transformations and give a d-dimensional Donsker's delta function as an example for such distributions. From there, we show the existence of local times and self-intersection local times of vggBm as distributions under some constraints, and compute their corresponding generalized expectations. At the end, we solve a system of linear SDEs driven by a vggBm noise in d dimensions.

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Cited in

(2)

• Generalized grey Brownian motion local time: existence and weak approximation
• Large deviations for perturbed Gaussian processes and logarithmic asymptotic estimates for some exit probabilities

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