Sub-fractional Brownian motion and its relation to occupation times
We study a long-range dependence Gaussian process which we call “sub-fractional Brownian motion” (sub-fBm), because it is intermediate between Brownian motion (Bm) and fractional Brownian motion (fBm) in the sense that it has properties analogous to those of fBm, but the increments on non-overlapping intervals are more weakly correlated and their covariance decays polynomially at a higher rate. Sub-fBm has a parameter h E (0, 2), we show how it arises from occupation time fluctuations of branching particle systems for h >= 1 and we exhibit the long memory effect of the initial condition.
|Date of creation:||15 Jun 2004|
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- Bojdecki, Tomasz & Gorostiza, Luis G., 1999. "Fractional Brownian motion via fractional Laplacian," Statistics & Probability Letters, Elsevier, vol. 44(1), pages 107-108, August.
- Deuschel, Jean-Dominique & Wang, Kongming, 1994. "Large deviations for the occupation time functional of a Poisson system of independent Brownian particles," Stochastic Processes and their Applications, Elsevier, vol. 52(2), pages 183-209, August.
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