Exponents, Symmetry Groups and Classification of Operator Fractional Brownian Motions

Gustavo Didier () and Vladas Pipiras ()
Additional contact information
Gustavo Didier: Tulane University
Vladas Pipiras: UNC-Chapel Hill

Journal of Theoretical Probability, 2012, vol. 25, issue 2, 353-395

Abstract: Abstract Operator fractional Brownian motions (OFBMs) are zero mean, operator self-similar (o.s.s.) Gaussian processes with stationary increments. They generalize univariate fractional Brownian motions to the multivariate context. It is well-known that the so-called symmetry group of an o.s.s. process is conjugate to subgroups of the orthogonal group. Moreover, by a celebrated result of Hudson and Mason, the set of all exponents of an operator self-similar process can be related to the tangent space of its symmetry group. In this paper, we revisit and study both the symmetry groups and exponent sets for the class of OFBMs based on their spectral domain integral representations. A general description of the symmetry groups of OFBMs in terms of subsets of centralizers of the spectral domain parameters is provided. OFBMs with symmetry groups of maximal and minimal types are studied in any dimension. In particular, it is shown that OFBMs have minimal symmetry groups (and thus unique exponents) in general, in the topological sense. Finer classification results of OFBMs, based on the explicit construction of their symmetry groups, are given in the lower dimensions 2 and 3. It is also shown that the parametrization of spectral domain integral representations are, in a suitable sense, not affected by multiplicity of exponents, whereas the same is not true for time domain integral representations.

Keywords: Operator fractional Brownian motions; Spectral domain representations; Operator self-similarity; Exponents; Symmetry groups; Orthogonal matrices; Commutativity; 60G18; 60G15 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://link.springer.com/10.1007/s10959-011-0348-5 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:jotpro:v:25:y:2012:i:2:d:10.1007_s10959-011-0348-5

Ordering information: This journal article can be ordered from
https://www.springer.com/journal/10959

DOI: 10.1007/s10959-011-0348-5

Access Statistics for this article

Journal of Theoretical Probability is currently edited by Andrea Monica

More articles in Journal of Theoretical Probability from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().