On bifractional Brownian motion

Francesco Russo and Ciprian A. Tudor

Stochastic Processes and their Applications, 2006, vol. 116, issue 5, 830-856

Abstract: This paper is devoted to analyzing several properties of the bifractional Brownian motion introduced by Houdré and Villa. This process is a self-similar Gaussian process depending on two parameters H and K and it constitutes a natural generalization of fractional Brownian motion (which is obtained for K=1). Here, we adopt the strategy of stochastic calculus via regularization. Of particular interest to us is the case . In this case, the process is a finite quadratic variation process with bracket equal to a constant times t and it has the same order of self-similarity as standard Brownian motion. It is a short-memory process even though it is neither a semimartingale nor a Dirichlet process.

Keywords: Bifractional; Brownian; motion; Dirichlet; processes; Self-similar; processes; Calculus; via; regularization (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (15)

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