A decomposition of the bifractional Brownian motion and some applications

2008/03/14 by Pedro Lei, David Nualart, Lei, Pedro +1 · 3 citations
Economics, Econometrics and Finance · Mathematics · #Complex Systems and Time Series Analysis #FOS: Mathematics #Financial Risk and Volatility Modeling #Probability (math.PR) #Stochastic processes and financial applications #math.PR

paper · pdf · doi:10.48550/arxiv.0803.2227

arxiv created 2008/03/14 · openalex publication_date 2008/03/14 · arxiv updated 2009/12/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

In this paper we show 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.

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