Particle picture interpretation of some Gaussian processes related to fractional Brownian motion
AbstractWe construct fractional Brownian motion, sub-fractional Brownian motion and negative sub-fractional Brownian motion by means of limiting procedures applied to some particle systems. These processes are obtained for full ranges of Hurst parameter.
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Bibliographic InfoArticle provided by Elsevier in its journal Stochastic Processes and their Applications.
Volume (Year): 122 (2012)
Issue (Month): 5 ()
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