Fractional Brownian motion with variable Hurst parameter: definition and properties

DOI10.1007/S10959-013-0502-3zbMATH Open1333.60077arXiv1306.2870OpenAlexW2081671937MaRDI QIDQ895895FDOQ895895

Authors: Jelena Ryvkina 

Publication date: 7 December 2015

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Abstract: A class of Gaussian processes generalizing the usual fractional Brownian motion for Hurst indices in (1/2,1) and multifractal Brownian motion introduced in Ralchenko and Shevchenko (Theory Probab Math Stat 80, 2010) and Boufoussi et al. (Bernoulli 16(4), 2010) is presented. Any measurable function assuming values in this interval can now be chosen as a variable Hurst parameter. These processes allow for modeling of phenomena where the regularity properties can change with time either continuously or through jumps, such as in the volatility of a stock or in Internet traffic. Some properties of the sample paths of the new process class, including different types of continuity and long-range dependence, are discussed. It is found that the regularity properties of the Hurst function chosen directly correspond to the regularity properties of the sample paths of the processes. The long-range dependence property of fractional Brownian motion is preserved in the larger process class. As an application, Fokker-Planck-type equations for a time-changed fractional Brownian motion with variable Hurst parameter are found.

Full work available at URL: https://arxiv.org/abs/1306.2870

Recommendations

• scientific article; zbMATH DE number 1684063
• DEFINITION, PROPERTIES AND WAVELET ANALYSIS OF MULTISCALE FRACTIONAL BROWNIAN MOTION
• scientific article; zbMATH DE number 1959500
• scientific article; zbMATH DE number 2115897
• scientific article; zbMATH DE number 1488132

zbMATH Keywords

Gaussian processesfractional Brownian motionself-similaritysample path regularityvariable Hurst parameter

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Sample path properties (60G17) Self-similar stochastic processes (60G18)

Cites Work

• Title not available (Why is that?)
• Fractional Brownian Motions, Fractional Noises and Applications
• Probability in Banach spaces. Isoperimetry and processes
• Lévy Processes and Stochastic Calculus
• Stochastic Calculus for Fractional Brownian Motion and Applications
• Stochastic calculus with respect to Gaussian processes
• The random walk's guide to anomalous diffusion: A fractional dynamics approach
• Elliptic Gaussian random processes
• Long memory in continuous-time stochastic volatility models
• Title not available (Why is that?)
• Title not available (Why is that?)
• Gaussian Hilbert Spaces
• Limit theorems for continuous-time random walks with infinite mean waiting times
• Stochastic integration with respect to Volterra processes
• Title not available (Why is that?)
• On time-changed Gaussian processes and their associated Fokker-Planck-Kolmogorov equations
• Chaos, fractional kinetics, and anomalous transport
• Some zero-one laws for Gaussian processes
• Estimation and pricing under long-memory stochastic volatility
• Path properties of multifractal Brownian motion
• Local time and Tanaka formula for a Volterra-type multifractional Gaussian process
• Title not available (Why is that?)
• Fractional Brownian motion with variable Hurst parameter: definition and properties
• Piecewise fractional Brownian motion

Cited In (5)

• Spectral analysis for some multifractional Gaussian processes
• Fractional Brownian motion with variable Hurst parameter: definition and properties
• Fractional Brownian motion with two-variable Hurst exponent
• \( L_2\)-small ball asymptotics for Gaussian random functions: a survey
• Fractional Brownian motion: difference iterative forecasting models

This page was built for publication: Fractional Brownian motion with variable Hurst parameter: definition and properties

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q895895)