AN EXTENSION OF THE LEVY CHARACTERIZATION TO FRACTIONAL BROWNIAN MOTION
成果类型：
Article
署名作者：
Mishura, Yuliya; Valkeila, Esko
署名单位：
Ministry of Education & Science of Ukraine; Taras Shevchenko National University of Kyiv; Aalto University
刊物名称：
ANNALS OF PROBABILITY
ISSN/ISSBN：
0091-1798
DOI：
10.1214/10-AOP555
发表日期：
2011
页码：
439-470
关键词：
摘要：
Assume that X is a continuous square integrable process with zero mean, defined on some probability space (Omega, F, P). The classical characterization due to P. Levy says that X is a Brownian motion if and only if X and X-t(2) - t, t >= 0, are martingales with respect to the intrinsic filtration F-X. We extend this result to fractional Brownian motion.