Generalized fractional Brownian motion
Volume 4, Issue 1 (2017), pp. 15–24
Pub. online: 16 January 2017
Type: Research Article
Open Access
Open Access
Received
13 November 2016
13 November 2016
Accepted
14 December 2016
14 December 2016
Published
16 January 2017
16 January 2017
Abstract
We introduce a new Gaussian process, a generalization of both fractional and subfractional Brownian motions, which could serve as a good model for a larger class of natural phenomena. We study its main stochastic properties and some increments characteristics. As an application, we deduce the properties of nonsemimartingality, Hölder continuity, nondifferentiablity, and existence of a local time.
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