Long-range dependent completely correlated mixed fractional Brownian motion

DOI10.1016/J.SPA.2023.104289arXiv2104.04992OpenAlexW3164293419MaRDI QIDQ6123268FDOQ6123268

Authors: Josephine Dufitinema, Foad Shokrollahi, Tommi Sottinen, Lauri Viitasaari 

Publication date: 4 March 2024

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

Abstract: In this paper we introduce the long-range dependent completely correlated mixed fractional Brownian motion (ccmfBm). This is a process that is driven by a mixture of Brownian motion (Bm) and a long-range dependent completely correlated fractional Brownian motion (fBm, ccfBm) that is constructed from the Brownian motion via the Molchan--Golosov representation. Thus, there is a single Bm driving the mixed process. In the short time-scales the ccmfBm behaves like the Bm (it has Brownian H"older index and quadratic variation). However, in the long time-scales it behaves like the fBm (it has long-range dependence governed by the fBm's Hurst index). We provide a transfer principle for the ccmfBm and use it to construct the Cameron--Martin--Girsanov--Hitsuda theorem and prediction formulas. Finally, we illustrate the ccmfBm by simulations.

Full work available at URL: https://arxiv.org/abs/2104.04992

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zbMATH Keywords

predictionfractional Brownian motiontransfer principlemixed fractional Brownian motionCameron-Martin-Girsanov-Hitsuda theorem

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Prediction theory (aspects of stochastic processes) (60G25)

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