A decomposition of the bifractional Brownian motion and some applications
Pedro Lei, David Nualart
TL;DR
This paper presents a decomposition of bifractional Brownian motion into a fractional Brownian motion and an additional process, enabling new applications in stochastic analysis.
Contribution
It introduces a novel decomposition of bifractional Brownian motion into simpler components, expanding analytical tools for this process.
Findings
Decomposition of bifractional Brownian motion into fractional Brownian motion and an absolutely continuous process.
Facilitates new applications in stochastic modeling and analysis.
Provides insights into the structure of bifractional Brownian motion.
Abstract
In this paper we show a decomposition of the bifractional Brownian motion with parameters H,K into the sum of a fractional Brownian motion with Hurst parameter HK plus a stochastic process with absolutely continuous trajectories. Some applications of this decomposition are discussed.
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Taxonomy
TopicsStochastic processes and financial applications · Financial Risk and Volatility Modeling · Complex Systems and Time Series Analysis