On the sub-mixed fractional Brownian motion

DOI10.1007/s11766-015-3198-6zbMath1340.60054arXiv1206.4291OpenAlexW1966376992MaRDI QIDQ902400

Mounir Zili, Charles El-Nouty

Publication date: 15 January 2016

Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1206.4291

zbMATH Keywords

convexitysemimartingalesub-fractional Brownian motionmixed Gaussian processesno stationary increments

Mathematics Subject Classification ID

Gaussian processes (60G15) Brownian motion (60J65) Sample path properties (60G17) Generalized stochastic processes (60G20)

Related Items (6)

Pricing of perpetual American put option with sub-mixed fractional Brownian motion ⋮ Unnamed Item ⋮ Stochastic heat equation with piecewise constant coefficients and generalized fractional type noise ⋮ Generalized fractional Brownian motion ⋮ The sub-fractional CEV model ⋮ Spatial quadratic variations for the solution to a stochastic partial differential equation with elliptic divergence form operator

Cites Work

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• Sub-fractional Brownian motion and its relation to occupation times
• Equivalence of Volterra processes.
• The Lower Classes of the Sub-Fractional Brownian Motion
• Some properties of the sub-fractional Brownian motion

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