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Fractional Brownian Flows

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  • Sreekar Vadlamani

    (Technion—Israel Institute of Technology)

Abstract

We consider a stochastic flow on ℝ n driven by a fractional Brownian motion with Hurst parameter $H\in(\frac{1}{2},1)$ and study a tangent flow and the growth of the Hausdorff measure of sub-manifolds of ℝ n as they evolve under the flow. The main result is a bound on the rate of (global) growth in terms of the (local) Hölder norm of the flow.

Suggested Citation

  • Sreekar Vadlamani, 2010. "Fractional Brownian Flows," Journal of Theoretical Probability, Springer, vol. 23(1), pages 257-276, March.
    • Handle: RePEc:spr:jotpro:v:23:y:2010:i:1:d:10.1007_s10959-008-0185-3
    DOI: 10.1007/s10959-008-0185-3
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    References listed on IDEAS

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    1. Baudoin, Fabrice & Coutin, Laure, 2007. "Operators associated with a stochastic differential equation driven by fractional Brownian motions," Stochastic Processes and their Applications, Elsevier, vol. 117(5), pages 550-574, May.
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