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Local independence of fractional Brownian motion

Author

Listed:
  • Norros, Ilkka
  • Saksman, Eero

Abstract

Let [sigma](t,t') be the sigma-algebra generated by the differences Xs-Xs' with s,s'[set membership, variant](t,t'), where (Xt)-[infinity]

Suggested Citation

  • Norros, Ilkka & Saksman, Eero, 2009. "Local independence of fractional Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 119(10), pages 3155-3172, October.
    • Handle: RePEc:eee:spapps:v:119:y:2009:i:10:p:3155-3172
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    References listed on IDEAS

    as
    1. Mandjes, Michel & Mannersalo, Petteri & Norros, Ilkka & van Uitert, Miranda, 2006. "Large deviations of infinite intersections of events in Gaussian processes," Stochastic Processes and their Applications, Elsevier, vol. 116(9), pages 1269-1293, September.
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    Cited by:

    1. Mukeru, Safari, 2017. "Representation of local times of fractional Brownian motion," Statistics & Probability Letters, Elsevier, vol. 131(C), pages 1-12.
    2. Ilkka Norros, 2022. "Information-based long-range dependence," Queueing Systems: Theory and Applications, Springer, vol. 100(3), pages 321-323, April.

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