Self-similarity and fractional Brownian motions on Lie groups
| dc.creator | Baudoin, F. | |
| dc.creator | Coutin, L. | |
| dc.date | 2006-03-08 | |
| dc.date.accessioned | 2026-07-07T07:06:40Z | |
| dc.date.available | 2026-07-07T07:06:40Z | |
| dc.description | The goal of this paper is to define and study a notion of fractional Brownian motion on a Lie group. We define it as at the solution of a stochastic differential equation driven by a linear fractional Brownian motion. We show that this process has stationary increments and satisfies a local self-similar property. Furthermore the Lie groups for which this self-similar property is global are characterized. Finally, we prove an integration by parts formula on the path group space and deduce the existence of a density. | |
| dc.identifier | https://arxiv.org/abs/math/0603199 | |
| dc.identifier | http://arxiv.org/abs/math/0603199 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/110109 | |
| dc.subject | Probability | |
| dc.title | Self-similarity and fractional Brownian motions on Lie groups | |
| dc.type | text |