Path Properties of a Generalized Fractional Brownian Motion

被引：0
|
作者：
Tomoyuki Ichiba
Guodong Pang
Murad S. Taqqu
机构：
[1] University of California,Department of Statistics and Applied Probability
[2] Santa Barbara,The Harold and Inge Marcus Department of Industrial and Manufacturing Engineering, College of Engineering
[3] Pennsylvania State University,Department of Mathematics and Statistics
[4] Boston University,undefined
来源：
Journal of Theoretical Probability | 2022年 / 35卷
关键词：
Gaussian self-similar process; Non-stationary increments; Generalized fractional Brownian motion; Hölder continuity; Path differentiability/non-differentiability; Functional and local law of the iterated logarithms; 60G05; 60G15; 60G17; 60G18; 60G22;
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学科分类号：
摘要：
The generalized fractional Brownian motion is a Gaussian self-similar process whose increments are not necessarily stationary. It appears in applications as the scaling limit of a shot noise process with a power-law shape function and non-stationary noises with a power-law variance function. In this paper, we study sample path properties of the generalized fractional Brownian motion, including Hölder continuity, path differentiability/non-differentiability, and functional and local law of the iterated logarithms.
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页码：550 / 574
页数：24
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