Bifractional Brownian Motion: Existence and Border Cases
Presenter
April 30, 2015
Keywords:
- Limiting processes
MSC:
- 40Axx
Abstract
Bifractional Brownian motions introduced by Houdre and Villa is an interesting family of self-similar Gaussian processes depending on two parameters H,K and reducing to the classical fractional Brownian motion when K=1.
We study the existence of the bifractional Brownian motion for a given pair (H,K) and encounter some related limiting processes. Our main tool is the spectral analysis of appropriate fractional stationary processes.
This is a joint work with Ksenia Volkova.