Lacunary fractional brownian motion

Marianne Clausel

doi:10.1051/ps/2010014

Lacunary fractional brownian motion

Marianne Clausel

Université Gustave Eiffel

Résultats de recherche: Contribution à un journal › Article › Revue par des pairs

2 Citations (Scopus)

Résumé

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.

langue originale	Anglais
Pages (de - à)	352-374
Nombre de pages	23
journal	ESAIM - Probability and Statistics
Volume	16
Les DOIs	https://doi.org/10.1051/ps/2010014
état	Publié - 1 janv. 2012
Modification externe	Oui

Accès au document

10.1051/ps/2010014

Autres fichiers et liens

Lien vers la publication dans Scopus

Contient cette citation

@article{e4a2f07415974639b3dfc06b294cf8ea,

title = "Lacunary fractional brownian motion",

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.",

keywords = "Lacunary Gaussian fields, Non uniqueness of the tangent field, Uniform irregularity, Wavelets",

author = "Marianne Clausel",

year = "2012",

month = jan,

day = "1",

doi = "10.1051/ps/2010014",

language = "English",

volume = "16",

pages = "352--374",

journal = "ESAIM - Probability and Statistics",

issn = "1292-8100",

publisher = "EDP Sciences",

}

TY - JOUR

T1 - Lacunary fractional brownian motion

AU - Clausel, Marianne

PY - 2012/1/1

Y1 - 2012/1/1

N2 - 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.

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.

KW - Lacunary Gaussian fields

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

AN - SCOPUS:84996140133

SN - 1292-8100

VL - 16

SP - 352

EP - 374

JO - ESAIM - Probability and Statistics

JF - ESAIM - Probability and Statistics

ER -

Lacunary fractional brownian motion

Résumé

Accès au document

Autres fichiers et liens

Empreinte digitale

Contient cette citation