Weierstrass Bridges
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Publication:6509596
arXiv2304.04944MaRDI QIDQ6509596FDOQ6509596
Zhenyuan Zhang, Alexander Schied
Abstract: We introduce a new class of stochastic processes called fractional Wiener-Weierstrass bridges. They arise by applying the convolution from the construction of the classical, fractal Weierstrass functions to an underlying fractional Brownian bridge. By analyzing the -th variation of the fractional Wiener-Weierstrass bridge along the sequence of -adic partitions, we identify two regimes in which the processes exhibit distinct sample path properties. We also analyze the critical case between those two regimes for Wiener-Weierstrass bridges that are based on standard Brownian bridge. We furthermore prove that fractional Wiener-Weierstrass bridges are never semimartingales, and we show that their covariance functions are typically fractal functions. Some of our results are extended to Weierstrass bridges based on bridges derived from a general continuous Gaussian martingale.
Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Fractals (28A80) Sample path properties (60G17)
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