Stochastic analysis for vector-valued generalized grey Brownian motion

DOI10.1090/TPMS/1184zbMATH Open1511.60064arXiv2111.09229OpenAlexW3214225054MaRDI QIDQ6040482FDOQ6040482

Authors: W. Bock, Martin Grothaus 

Publication date: 17 May 2023

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

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.

Full work available at URL: https://arxiv.org/abs/2111.09229

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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)

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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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