Approximation of multifractional Brownian motion by absolutely continuous processes

DOI10.1090/S0094-9000-2011-00831-9zbMath1237.60029MaRDI QIDQ3114552

Kostiantyn Ralchenko

Publication date: 19 February 2012

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

zbMATH Keywords

Gaussian processesstochastic differential equationsmultifractional Brownian motion

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (2)

Gaussian Volterra processes: Asymptotic growth and statistical estimation ⋮ Asymptotic growth of trajectories of multifractional Brownian motion, with statistical applications to drift parameter estimation

Cites Work

• Local time and Tanaka formula for a Volterra-type multifractional Gaussian process
• Elliptic Gaussian random processes
• Differential equations driven by fractional Brownian motion
• Stochastic calculus for fractional Brownian motion and related processes.
• Path properties of multifractal Brownian motion
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