A set-indexed fractional Brownian motion
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Publication:867075
DOI10.1007/S10959-006-0019-0zbMATH Open1120.60035arXivmath/0503211OpenAlexW2069633024MaRDI QIDQ867075FDOQ867075
Authors: Erick Herbin, Ely Merzbach 
Publication date: 14 February 2007
Published in: Journal of Theoretical Probability (Search for Journal in Brave)
Abstract: We define and prove the existence of a fractional Brownian motion indexed by a collection of closed subsets of a measure space. This process is a generalization of the set-indexed Brownian motion, when the condition of independance is relaxed. Relations with the Levy fractional Brownian motion and with the fractional Brownian sheet are studied. We prove stationarity of the increments and a property of self-similarity with respect to the action of solid motions. Moreover, we show that there no "really nice" set indexed fractional Brownian motion other than set-indexed Brownian motion. Finally, behavior of the set-indexed fractional Brownian motion along increasing paths is analysed.
Full work available at URL: https://arxiv.org/abs/math/0503211
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Cited In (25)
- Bifractional Brownian motions on metric spaces
- Brownian motion indexed by a time scale
- Fractional Poisson fields
- An aggregated model for Karlin stable processes
- A fractional Brownian field indexed by \(L^2\) and a varying Hurst parameter
- Set-valued Brownian motion
- Increment stationarity of \(L^2\)-indexed stochastic processes: spectral representation and characterization
- Simulations for Karlin random fields
- Spherical and hyperbolic fractional Brownian motion
- An increment-type set-indexed Markov property
- A group action on increasing sequences of set-indexed Brownian motions
- Stable processes with stationary increments parameterized by metric spaces
- A characterization of the set-indexed fractional Brownian motion by increasing paths
- Invariance principles for self-similar set-indexed random fields
- Karhunen-Loève expansion of a set indexed fractional Brownian motion
- Set-indexed Brownian motion on increasing paths
- Some classical-new results on the set-indexed Brownian motion
- Sample paths properties of the set-indexed fractional Brownian motion
- Stationarity and self-similarity characterization of the set-indexed fractional Brownian motion
- Selected topics in the generalized mixed set-indexed fractional Brownian motion
- Some singular sample path properties of a multiparameter fractional Brownian motion
- Set Estimation from Reflected Brownian Motion
- Lévy's Brownian motion as a set-indexed process and a related central limit theorem
- The set-indexed Lévy process: stationarity, Markov and sample paths properties
- Local Hölder regularity for set-indexed processes
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