An extension of bifractional Brownian motion

Abstract : In this paper we introduce and study a self-similar Gaussian process that is the bifractional Brownian motion $B^{H,K}$ with parameters $H\in~(0,1)$ and $K\in(1,2)$ such that $HK\in(0,1)$. A remarkable difference between the case $K\in(0,1)$ and our situation is that this process is a semimartingale when $2HK=1$.
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https://hal-paris1.archives-ouvertes.fr/hal-00457155
Contributor : Khalifa Es-Sebaiy <>
Submitted on : Monday, May 9, 2011 - 12:13:30 PM
Last modification on : Tuesday, November 28, 2017 - 1:18:12 AM
Long-term archiving on : Wednesday, August 10, 2011 - 2:43:58 AM

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  • HAL Id : hal-00457155, version 2
  • ARXIV : 1002.3680

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Xavier Bardina, Khalifa Es-Sebaiy. An extension of bifractional Brownian motion. Communications on Stochastic Analysis, 2011, 5 (2), pp.333-340. ⟨hal-00457155v2⟩

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