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Multi-dimensional fractional Brownian motion in the G-setting

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  • Francesca Biagini
  • Andrea Mazzon
  • Katharina Oberpriller

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 $H >\frac{1}{2}$ .

Suggested Citation

  • Francesca Biagini & Andrea Mazzon & Katharina Oberpriller, 2023. "Multi-dimensional fractional Brownian motion in the G-setting," Papers 2312.12139, arXiv.org.
    • Handle: RePEc:arx:papers:2312.12139
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    References listed on IDEAS

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