We study the two-dimensional fractional Brownian motion with Hurst parameter H > 1/2. 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. © Institute of Mathematical Statistics.
CITATION STYLE
Baudoin, F., & Nualart, D. (2006). Notes on the two-dimensional fractional Brownian motion. Annals of Probability, 34(1), 159–180. https://doi.org/10.1214/009117905000000288
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