Notes on the two-dimensional fractional Brownian motion
Baudoin, Fabrice ; Nualart, David
Ann. Probab., Tome 34 (2006) no. 1, p. 159-180 / Harvested from Project Euclid
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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.
Publié le : 2006-01-14
Classification:  Ergodic theorem,  functionals of fractional Brownian motion,  planar fractional Brownian motion,  stochastic integrals,  windings,  60F15,  60G15,  60G18,  60H05 
@article{1140191535,
     author = {Baudoin, Fabrice and Nualart, David},
     title = {Notes on the two-dimensional fractional Brownian motion},
     journal = {Ann. Probab.},
     volume = {34},
     number = {1},
     year = {2006},
     pages = { 159-180},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1140191535}
}

Baudoin, Fabrice; Nualart, David. Notes on the two-dimensional fractional Brownian motion. Ann. Probab., Tome 34 (2006) no. 1, pp.  159-180. http://gdmltest.u-ga.fr/item/1140191535/