Notes on the two-dimensional fractional Brownian motion
Fabrice Baudoin and David Nualart
Source: Ann. Probab. Volume 34, Number 1
(2006), 159-180.
Abstract
We study the two-dimensional fractional Brownian motion with Hurst parameter H>½. In particular, we show, using stochastic calculus, that this process admits a skew-product decomposition and deduce from this representation some asymptotic properties of the motion.
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Keywords: Ergodic theorem; functionals of fractional Brownian motion; planar fractional Brownian motion; stochastic integrals; windings
Full-text: Open access
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Permanent link to this document: http://projecteuclid.org/euclid.aop/1140191535
Digital Object Identifier: doi:10.1214/009117905000000288
Mathematical Reviews number (MathSciNet): MR2206345
Zentralblatt MATH identifier: 05031262
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