Lacunary Fractional Brownian Motion

Marianne Clausel

ESAIM: Probability and Statistics (2012)

  • Volume: 16, page 352-374
  • ISSN: 1292-8100

Abstract

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In this paper, a new class of Gaussian field is introduced called Lacunary Fractional Brownian Motion. Surprisingly we show that usually their tangent fields are not unique at every point. We also investigate the smoothness of the sample paths of Lacunary Fractional Brownian Motion using wavelet analysis.

How to cite

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Clausel, Marianne. "Lacunary Fractional Brownian Motion." ESAIM: Probability and Statistics 16 (2012): 352-374. <http://eudml.org/doc/222471>.

@article{Clausel2012,
abstract = {In this paper, a new class of Gaussian field is introduced called Lacunary Fractional Brownian Motion. Surprisingly we show that usually their tangent fields are not unique at every point. We also investigate the smoothness of the sample paths of Lacunary Fractional Brownian Motion using wavelet analysis.},
author = {Clausel, Marianne},
journal = {ESAIM: Probability and Statistics},
keywords = {Lacunary Gaussian fields; non uniqueness of the tangent field; uniform irregularity; wavelets; lacunary Gaussian fields},
language = {eng},
month = {8},
pages = {352-374},
publisher = {EDP Sciences},
title = {Lacunary Fractional Brownian Motion},
url = {http://eudml.org/doc/222471},
volume = {16},
year = {2012},
}

TY - JOUR
AU - Clausel, Marianne
TI - Lacunary Fractional Brownian Motion
JO - ESAIM: Probability and Statistics
DA - 2012/8//
PB - EDP Sciences
VL - 16
SP - 352
EP - 374
AB - In this paper, a new class of Gaussian field is introduced called Lacunary Fractional Brownian Motion. Surprisingly we show that usually their tangent fields are not unique at every point. We also investigate the smoothness of the sample paths of Lacunary Fractional Brownian Motion using wavelet analysis.
LA - eng
KW - Lacunary Gaussian fields; non uniqueness of the tangent field; uniform irregularity; wavelets; lacunary Gaussian fields
UR - http://eudml.org/doc/222471
ER -

References

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