A decomposition of the bifractional Brownian motion and some applications

Pedro Lei and David Nualart

Statistics & Probability Letters, 2009, vol. 79, issue 5, 619-624

Abstract: In this paper we have shown a decomposition of the bifractional Brownian motion with parameters H,K into the sum of a fractional Brownian motion with Hurst parameter HK plus a stochastic process with absolutely continuous trajectories. Some applications of this decomposition are discussed.

Date: 2009
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