Complex-valued Wiener measure: An approach via random walk in the complex plane

DOI10.1016/S0167-7152(98)00194-1zbMath0956.60028MaRDI QIDQ1962150

Guy Jumaric

Publication date: 1 March 2001

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

heat equationfractional Brownian motionrandom walk

Mathematics Subject Classification ID

Gaussian processes (60G15) Functional limit theorems; invariance principles (60F17)

Related Items (3)

Joint distributions of the maximum and the process for higher-order diffusions. ⋮ Explicit solutions of some fractional partial differential equations via stable subordinators ⋮ Quantum-like diffusion over discrete sets

Cites Work

• The Fokker-Planck equation. Methods of solution and applications
• A signed measure on path space related to Wiener measure
• A new approach to complex-valued fractional Brownian motion via rotating white noise
• Information Theory and Statistical Mechanics
• Construction of a complex-valued fractional Brownian motion of order N
• Fractional Brownian Motions, Fractional Noises and Applications
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