Multi-dimensional fractional Brownian motion in the G-setting

Francesca Biagini, Andrea Mazzon and Katharina Oberpriller

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Abstract: In this paper we introduce a definition of a multi-dimensional fractional Brownian motion of Hurst index $H \in (0, 1)$ under volatility uncertainty (in short G-fBm). We study the properties of such a process and provide first results about stochastic calculus with respect to a fractional G-Brownian motion for a Hurst index $H >\frac{1}{2}$ .

Date: 2023-12, Revised 2024-11
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2312.12139

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