Xia, Liang-wen, Zhang, Jing-hong
Abstract
Abstract:Subfractional Brownian motion can be decomposed in distribution as a sum of independent fractional Brownian motion and a centered Gaussian process with absolutely continuouspaths.This paper proves an approximations of subfractional Brownian motion using the decomposition.
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Abstract:Subfractional Brownian motion can be decomposed in distribution as a sum of independent fractional Brownian motion and a centered Gaussian process with absolutely continuouspaths.This paper proves an approximations of subfractional Brownian motion using the decomposition.
Key concepts: Fractional Brownian motion, Brownian excursion, Brownian motion, Martingale representation theorem, Reflected Brownian motion, Mathematics, Heavy traffic approximation, Diffusion process