The Multiparameter Fractional Brownian Motion

Erick Herbin () and Ely Merzbach ()
Additional contact information
Erick Herbin: Dassault Aviation
Ely Merzbach: Bar Ilan University, Dept. of Mathematics

A chapter in Math Everywhere, 2007, pp 93-101 from Springer

Abstract: Abstract We define and study the multiparameter fractional Brownian motion. This process is a generalization of both the classical fractional Brownian motion and the multiparameter Brownian motion, when the condition of independence is relaxed. Relations with the Lévy fractional Brownian motion and with the fractional Brownian sheet are discussed. Different notions of stationarity of the increments for a multiparameter process are studied and applied to the fractional property. Using self-similarity we present a characterization for such processes. Finally, behavior of the multiparameter fractional Brownian motion along increasing paths is analysed.

Keywords: Fractal Property; Covariance Function; Fractional Brownian Motion; Euclidian Structure; Centered Gaussian Process (search for similar items in EconPapers)
Date: 2007
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:sprchp:978-3-540-44446-6_8

Ordering information: This item can be ordered from
http://www.springer.com/9783540444466

DOI: 10.1007/978-3-540-44446-6_8

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().