Fractional Brownian motion with variable Hurst parameter: definition and properties
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Publication:895895
DOI10.1007/s10959-013-0502-3zbMath1333.60077arXiv1306.2870OpenAlexW2081671937MaRDI QIDQ895895
Publication date: 7 December 2015
Published in: Journal of Theoretical Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1306.2870
fractional Brownian motionGaussian processesself-similaritysample path regularityvariable Hurst parameter
Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Sample path properties (60G17) Self-similar stochastic processes (60G18)
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Spectral analysis for some multifractional Gaussian processes ⋮ Fractional Brownian motion with variable Hurst parameter: definition and properties ⋮ \( L_2\)-small ball asymptotics for Gaussian random functions: a survey ⋮ Fractional Brownian motion: difference iterative forecasting models ⋮ Fractional Brownian motion with two-variable Hurst exponent
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