Particle picture interpretation of some Gaussian processes related to fractional Brownian motion

Tomasz Bojdecki and Anna Talarczyk

Stochastic Processes and their Applications, 2012, vol. 122, issue 5, 2134-2154

Abstract: We construct fractional Brownian motion, sub-fractional Brownian motion and negative sub-fractional Brownian motion by means of limiting procedures applied to some particle systems. These processes are obtained for full ranges of Hurst parameter.

Keywords: Fractional Brownian motion; Sub-fractional Brownian motion; Negative sub-fractional Brownian motion; Particle system; Density process; Occupation time fluctuation limit (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:122:y:2012:i:5:p:2134-2154

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DOI: 10.1016/j.spa.2012.03.004

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