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Notes on the two-dimensional fractional Brownian motion
Baudoin, Fabrice Nualart, David
Baudoin, Fabrice
Nualart, David
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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.
Description
This is the published version, also available here: http://dx.doi.org/10.1214/009117905000000288.
Date
2006-02-17
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Institute of Mathematical Statistics
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Keywords
Ergodic theorem, functionals of fractional Brownian motion, planar fractional Brownian motion, stochastic integrals, windings
Citation
Baudoin, Fabrice; Nualart, David. Notes on the two-dimensional fractional Brownian motion. Ann. Probab. 34 (2006), no. 1, 159--180. http://dx.doi.org/10.1214/009117905000000288.