Title of article
Particle picture interpretation of some Gaussian processes related to fractional Brownian motion
Author/Authors
Tomasz Bojdecki، نويسنده , , Tomasz and Talarczyk، نويسنده , , Anna، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2012
Pages
21
From page
2134
To page
2154
Abstract
We construct fractional Brownian motion, sub-fractional Brownian motion and negative sub-fractional Brownian motion by means of limiting procedures applied to some particle systems. These processes are obtained for full ranges of Hurst parameter.
loy the so-called white noise approach. Our construction is quite general, permitting to obtain also some other Gaussian processes, as well as multidimensional random fields. In particular, we generalize and presumably simplify some results by Hambly and Jones (2007). We also obtain a new class of S ′ -valued density processes, containing as a particular case the density process of Martin-Löf (1976).
Keywords
Fractional Brownian motion , Particle system , Density process , Negative sub-fractional Brownian motion , Sub-fractional Brownian motion , Occupation time fluctuation limit
Journal title
Stochastic Processes and their Applications
Serial Year
2012
Journal title
Stochastic Processes and their Applications
Record number
1578597
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