Mixed sub-fractional Brownian motion

DOI10.1515/ROSE-2014-0017MaRDI QIDQ742070zbMATH OpenOpenAlexFDO

Authors Mounir Zili

Publication date 17 September 2014

Published in Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1312.3546

zbMATH Keywords

Hausdorff dimensionmixed Gaussian processessub-fractional Brownian motion

Mathematics Subject Classification ID

Fractals (28A80) Gaussian processes (60G15) Sample path properties (60G17) Generalized stochastic processes (60G20) Fractional processes, including fractional Brownian motion (60G22)

Abstract: A new extension of the sub-fractional Brownian motion, and thus of the Brownian motion, is introduced. It is a linear combination of a finite number of sub-fractional Brownian motions, that we have chosen to call the mixed sub-fractional Brownian motion. In this paper, we study some basic properties of this process, its non-Markovian and non-stationarity characteristics, the conditions under which it is a semimartingale, and the main features of its sample paths. We also show that this process could serve to get a good model of certain phenomena, taking not only the sign (like in the case of the sub-fractional Brownian motion), but also the strength of dependence between the increments of this phenomena into account.

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(18)

• Mixed fractional Brownian motion
• Mixed stochastic heat equation with fractional Laplacian and gradient perturbation
• Spatial quadratic variations for the solution to a stochastic partial differential equation with elliptic divergence form operator
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• scientific article; zbMATH DE number 5635003 (Why is no real title available?)
• Stochastic analysis of mixed fractional Gaussian processes
• Local time of mixed Brownian motion and subfractional Brownian motion
• Stochastic heat equation with piecewise constant coefficients and generalized fractional type noise
• Mixed bifractional Brownian motion: definition and preliminary results
• Generalized fractional Brownian motion
• Multi-mixed fractional Brownian motions and Ornstein-Uhlenbeck processes
• Long-range dependent completely correlated mixed fractional Brownian motion
• Mixed sub-fractional Brownian motion and drift estimation of related Ornstein-Uhlenbeck process
• Mixed generalized fractional Brownian motion
• Riemann-Liouville fractional stochastic evolution equations driven by mixed sub-fractional Brownian motion
• On the sub-mixed fractional Brownian motion
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