Tempered Fractional Brownian Motion Revisited Via Fractional Ornstein-Uhlenbeck Processes
| Autor: | Lim, S. C., Eab, Chai Hok |
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| Rok vydání: | 2019 |
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| Druh dokumentu: | Working Paper |
| Popis: | Tempered fractional Brownian motion is revisited from the viewpoint of reduced fractional Ornstein-Uhlenbeck process. Many of the basic properties of the tempered fractional Brownian motion can be shown to be direct consequences or modifications of the properties of fractional Ornstein-Uhlenbeck process. Mixed tempered fractional Brownian motion is introduced and its properties are considered. Tempered fractional Brownian motion is generalised from single index to two indices. Finally, tempered multifractional Brownian motion and its properties are studied. Comment: 24 page 1 figure |
| Databáze: | arXiv |
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