The Schoenberg-Levy kernel and relationships among fractional Brownian motion, bifractional Brownian motion, and others

No Thumbnail Available
Issue Date
2013
Embargo End Date
Authors
Ma, Chunsheng
Advisor
Citation

Ma, Chunsheng. 2013. The Schoenberg-Levy kernel and relationships among fractional Brownian motion, bifractional Brownian motion, and others. Theory of Probability & Its Applications, vol. 57:no. 4:pp. 619-632

Abstract

Starting with a discussion about the relationship between the fractional Brownian motion and the bifractional Brownian motion on the real line, we find that a fractional Brownian motion can be decomposed as an independent sum of a bifractional Brownian motion and a trifractional Brownian motion that is defined in the paper. More generally, this type of orthogonal decomposition holds for a large class of Gaussian or elliptically contoured random functions whose covariance functions are Schoenberg-Levy kernels on a temporal, spatial, or spatio-temporal domain. Also, many self-similar, nonstationary (Gaussian, elliptically contoured) random functions are formulated, and properties of the trifractional Brownian motion are studied. In particular, a bifractional Brownian motion in R-d is shown to be a quasi-helix in the sense of Kahane.

Table of Content
Description
Click on the DOI link to access the article (may not be free).
publication.page.dc.relation.uri
DOI