Notes on the two-dimensional, fractional Brownian motion

• 成果类型: Article
• 署名作者: Baudoin, F; Nualart, D
• 署名单位: University of Barcelona
• 刊物名称: ANNALS OF PROBABILITY
• ISSN/ISSBN: 0091-1798
• DOI: 10.1214/009117905000000288
• 发表日期: 2006
• 页码: 159-180
• 关键词: stochastic calculus; asymptotic laws; Respect

摘要

We study the two-dimensional fractional Brownian motion with Hurst parameter H > (1)/(2). In particular, we show, using stochastic calculus, that this process admits a skew-product decomposition and deduce from this representation some asymptotic properties of the motion.