Generalized Multifractional Brownian Motion: Definition and Preliminary Results
Ayache, Antoine ; Lévy Véhel, Jacques
HAL, inria-00578657 / Harvested from HAL
The Multifractional Brownian Motion (MBM) is a generalization of the well known Fractional Brownian Motion. One of the main reasons that makes the MBM interesting for modelization, is that one can prescribe its regularity: given any Hölder function H(t), with values in ]0,1[, one can construct an MBM admitting at any t0, a Hölder exponent equal to H(t0). However, the continuity of the function H(t) is sometimes undesirable, since it restricts the field of application. In this work we define a gaussian process, called the Generalized Multifractional Brownian Motion (GMBM) that extends the MBM. This process will also depend on a functional parameter H(t) that belongs to a set , but will be much more larger than the space of Hölder functions.
Publié le : 1999-07-05
Classification:  [MATH.MATH-PR]Mathematics [math]/Probability [math.PR]
@article{inria-00578657,
     author = {Ayache, Antoine and L\'evy V\'ehel, Jacques},
     title = {Generalized Multifractional Brownian Motion: Definition and Preliminary Results},
     journal = {HAL},
     volume = {1999},
     number = {0},
     year = {1999},
     language = {en},
     url = {http://dml.mathdoc.fr/item/inria-00578657}
}
Ayache, Antoine; Lévy Véhel, Jacques. Generalized Multifractional Brownian Motion: Definition and Preliminary Results. HAL, Tome 1999 (1999) no. 0, . http://gdmltest.u-ga.fr/item/inria-00578657/