Local independence of fractional Brownian motion

Ilkka Norros and Eero Saksman

Stochastic Processes and their Applications, 2009, vol. 119, issue 10, 3155-3172

Abstract: Let [sigma](t,t') be the sigma-algebra generated by the differences Xs-Xs' with s,s'[set membership, variant](t,t'), where (Xt)-[infinity]

Keywords: Fractional; Brownian; motion; Asymptotic; Independence; Local (search for similar items in EconPapers)
Date: 2009
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