Lacunary fractional brownian motion

Marianne Clausel

doi:10.1051/ps/2010014

Lacunary fractional brownian motion

Marianne Clausel

Université Gustave Eiffel

Research output: Contribution to journal › Article › peer-review

2 Citations (Scopus)

Abstract

In this paper, a new class of Gaussian field is introduced called Lacunary Fractional Brownian Motion. Surprisingly we show that usually their tangent fields are not unique at every point. We also investigate the smoothness of the sample paths of Lacunary Fractional Brownian Motion using wavelet analysis.

Original language	English
Pages (from-to)	352-374
Number of pages	23
Journal	ESAIM - Probability and Statistics
Volume	16
DOIs	https://doi.org/10.1051/ps/2010014
Publication status	Published - 1 Jan 2012
Externally published	Yes

Keywords

Lacunary Gaussian fields
Non uniqueness of the tangent field
Uniform irregularity
Wavelets

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10.1051/ps/2010014

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AB - In this paper, a new class of Gaussian field is introduced called Lacunary Fractional Brownian Motion. Surprisingly we show that usually their tangent fields are not unique at every point. We also investigate the smoothness of the sample paths of Lacunary Fractional Brownian Motion using wavelet analysis.

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KW - Non uniqueness of the tangent field

KW - Uniform irregularity

KW - Wavelets

UR - https://www.scopus.com/pages/publications/84996140133

U2 - 10.1051/ps/2010014

DO - 10.1051/ps/2010014

M3 - Article

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VL - 16

SP - 352

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JO - ESAIM - Probability and Statistics

JF - ESAIM - Probability and Statistics

ER -

Lacunary fractional brownian motion

Abstract

Keywords

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