Sample path properties of bifractional Brownian motion

By Ciprian A. Tudor, Yimin Xiao. 2006

104 citations recorded by the source corpus.

Let B H;K = ' B H;K (t); t 2R+ “ be a bifractional Brownian motion in R d . We prove that B H;K is strongly locally nondeterministic. Applying this property and a stochastic integral representation of B H;K , we establish Chung’s law of the iterated logarithm for

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/16959bf636915254e4a87c5ba6ba8fa55a8c22ac

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Yimin Xiao
2. David Nualart
3. Christian Bender

In Finance

1. Yimin Xiao
2. David Nualart
3. P. Lei
4. Ivan Nourdin
5. Ciprian A. Tudor
6. Giovanni Peccati
7. Frederi G. Viens
8. Yaozhong Hu

Citations in the corpus

• A decomposition of the bifractional Brownian motion and some applications (2008, background): “In [ 14 ] the authors have proved the Chung’s law of the iterated logarithm for the bifractional Brownian motion:”
• Sample Path Properties of Anisotropic Gaussian Random Fields (2009, result): “Related to the above results, we mention that Tudor and Xiao [ 93 ] have obtained results on Hausdorff dimensions of the sample paths, local times and their chaos expansion for (N, d)-bifractional Brownian sheets.”