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On the sub-mixed fractional Brownian motion 被引量：15

On the sub-mixed fractional Brownian motion
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摘要 Let {S t H, t ≥ 0） be a linear combination of a Brownian motion and an independent sub-fractional Brownian motion with Hurst index 0 〈 H 〈 1. Its main properties are studied. They suggest that SH lies between the sub-fractional Brownian motion and the mixed fractional Brownian motion. We also determine the values of H for which SH is not a semi-martingale. Let {S t H, t ≥ 0） be a linear combination of a Brownian motion and an independent sub-fractional Brownian motion with Hurst index 0 〈 H 〈 1. Its main properties are studied. They suggest that SH lies between the sub-fractional Brownian motion and the mixed fractional Brownian motion. We also determine the values of H for which SH is not a semi-martingale.
作者 El-Nouty Charles Zili Mounir
机构地区 Universite Paris XIII Department of Mathematics
出处 《Applied Mathematics(A Journal of Chinese Universities)》 SCIE CSCD 2015年第1期27-43,共17页 高校应用数学学报（英文版）（B辑）
关键词 mixed Gaussian processes sub-fractional Brownian motion no stationary increments semi-martingales convexity. mixed Gaussian processes, sub-fractional Brownian motion, no stationary increments, semi-martingales convexity.
分类号 O211.6 [理学—概率论与数理统计] TQ051.72 [化学工程]
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参考文献15

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同被引文献64

引证文献15

二级引证文献21

Applied Mathematics(A Journal of Chinese Universities)
2015年 第1期

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