Notes on the two-dimensional fractional Brownian motion

Baudoin, Fabrice; Nualart, David

dc.contributor.author	Baudoin, Fabrice
dc.contributor.author	Nualart, David
dc.date.accessioned	2015-03-10T16:49:40Z
dc.date.available	2015-03-10T16:49:40Z
dc.date.issued	2006-02-17
dc.identifier.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.	en_US
dc.identifier.uri	http://hdl.handle.net/1808/17027
dc.description	This is the published version, also available here: http://dx.doi.org/10.1214/009117905000000288.	en_US
dc.description.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.	en_US
dc.publisher	Institute of Mathematical Statistics	en_US
dc.subject	Ergodic theorem	en_US
dc.subject	functionals of fractional Brownian motion	en_US
dc.subject	planar fractional Brownian motion	en_US
dc.subject	stochastic integrals	en_US
dc.subject	windings	en_US
dc.title	Notes on the two-dimensional fractional Brownian motion	en_US
dc.type	Article
kusw.kuauthor	Nualart, David
kusw.kudepartment	Mathematics	en_US
kusw.oanotes	On author's personal website or open access repository. On a non-profit server. Version must be exactly as published in the journal. Must link to publisher version. PDF of all published articles are automatically placed in archiv. Publisher's version/PDF may be used. NIH authors may post authors' own version in PubMed Central for release <num>12</num> <period units="month">months</period> after publication.	en_US
dc.identifier.doi	10.1214/009117905000000288
kusw.oaversion	Scholarly/refereed, publisher version
kusw.oapolicy	This item meets KU Open Access policy criteria.
dc.rights.accessrights	openAccess

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