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A class of micropulses and antipersistent fractional Brownian motion

Listed author(s):
  • Cioczek-Georges, R.
  • Mandelbrot, B. B.

We begin with stochastic processes obtained as sums of "up-and-down" pulses with random moments of birth [tau] and random lifetime w determined by a Poisson random measure. When the pulse amplitude [var epsilon] --> 0, while the pulse density [delta] increases to infinity, one obtains a process of "fractal sum of micropulses." A CLT style argument shows convergence in the sense of finite dimensional distributions to a Gaussian process with negatively correlated increments. In the most interesting case the limit is fractional Brownian motion (FBM), a self-affine process with the scaling constant . The construction is extended to the multidimensional FBM field as well as to micropulses of more complicated shape.

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Article provided by Elsevier in its journal Stochastic Processes and their Applications.

Volume (Year): 60 (1995)
Issue (Month): 1 (November)
Pages: 1-18

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Handle: RePEc:eee:spapps:v:60:y:1995:i:1:p:1-18
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