Limits of bifractional Brownian noises
| dc.creator | Maejima, Makoto | |
| dc.creator | Tudor, Ciprian | |
| dc.date | 2008-10-27 | |
| dc.date.accessioned | 2026-07-07T10:13:22Z | |
| dc.date.available | 2026-07-07T10:13:22Z | |
| dc.description | Let $B^{H,K}=(B^{H,K}_{t}, t\geq 0)$ be a bifractional Brownian motion with two parameters $H\in (0,1)$ and $K\in(0,1]$. The main result of this paper is that the increment process generated by the bifractional Brownian motion $(B^{H,K}_{h+t} -B^{H,K}_{h}, t\geq 0)$ converges when $h\to \infty$ to $(2^{(1-K)/{2}}B^{HK}_{t}, t\geq 0)$, where $(B^{HK}_{t}, t\geq 0)$ is the fractional Brownian motion with Hurst index $HK$. We also study the behavior of the noise associated to the bifractional Brownian motion and limit theorems to $B^{H,K}$. | |
| dc.identifier | https://arxiv.org/abs/0810.4764 | |
| dc.identifier | http://arxiv.org/abs/0810.4764 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/172504 | |
| dc.subject | Probability | |
| dc.title | Limits of bifractional Brownian noises | |
| dc.type | text |