Remarks on the fractional Brownian motion
Denis Feyel, Arnaud De La Pradelle (Institut math jussieu)
TL;DR
This paper explores fractional Brownian motion using convolution with white noise, leading to simplified analysis and new insights into its properties.
Contribution
It introduces a novel convolution approach with white noise that simplifies the study of fractional Brownian motion and yields new results.
Findings
Simplified representation of fBm
New theoretical results on fBm properties
Enhanced understanding of fBm through convolution
Abstract
We study the fBm by use of convolution of the standard white noise with a certain distribution. This brings some simplifications and new results.
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Taxonomy
TopicsStochastic processes and financial applications · Financial Risk and Volatility Modeling · Complex Systems and Time Series Analysis