On the nth-order subfractional Brownian motion

IF 0.7 4区数学 Q2 MATHEMATICS

Hacettepe Journal of Mathematics and Statistics Pub Date : 2023-05-30 DOI:10.15672/hujms.1180888

E. Mohamed, Mabdaoui Mohamed

引用次数: 0

Abstract

In the present work, we introduce the nth-Order subfractional Brownian motion (S_H^n (t), t ≥ 0) with Hurst index H ∈ (n − 1,n) and order n ≥ 1; then we examine some of its basic properties: self-similarity, long-range dependence, non Markovian nature and semimartingale property. A local law of iterated logarithm for S_H^n (t) is also established.

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关于n阶次布朗运动

本文引入n阶次布朗运动(S_H^n (t)， t≥0)，其Hurst指数H∈(n−1,n)，阶n≥1;然后研究了它的一些基本性质:自相似、远程依赖、非马尔可夫性质和半鞅性质。建立了S_H^n (t)的局部迭代对数律。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Hacettepe Journal of Mathematics and Statistics 数学-数学

CiteScore

1.70

自引率

0.00%

发文量

100

审稿时长

6-12 weeks

期刊介绍： Hacettepe Journal of Mathematics and Statistics covers all aspects of Mathematics and Statistics. Papers on the interface between Mathematics and Statistics are particularly welcome, including applications to Physics, Actuarial Sciences, Finance and Economics. We strongly encourage submissions for Statistics Section including current and important real world examples across a wide range of disciplines. Papers have innovations of statistical methodology are highly welcome. Purely theoretical papers may be considered only if they include popular real world applications.