Notes on the two-dimensional fractional Brownian motion

Baudoin, Fabrice; Nualart, David

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Issue Date

2006-02-17

Author

Baudoin, Fabrice

Nualart, David

Publisher

Institute of Mathematical Statistics

Type

Article

Article Version

Scholarly/refereed, publisher version

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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.

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.

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