A decomposition of the bifractional Brownian motion and some applications

By P. Lei, David Nualart. 2008

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In this paper we have shown a decomposition of the bifractional Brownian motion with parameters H,K into the sum of a fractional Brownian motion with Hurst parameter HK plus a stochastic process with absolutely continuous trajectories. Some applications of this decomposition are discussed.

Subfields: Finance, Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/6b10cadfd3d68c5d6157f18696a17e4614742687