Multifractional vector Brownian motions, their decompositions, and generalizations
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Ma, Chunsheng. 2015. Multifractional vector Brownian motions, their decompositions, and generalizations. Stochastic Analysis and Applications, vol. 33:no. 3:pp 535-548
This article introduces three types of covariance matrix structures for Gaussian or elliptically contoured vector random fields in space and/or time, which include fractional, bifractional, and trifractional vector Brownian motions as special cases, and reveals the relationships among these vector random fields, with an orthogonal decomposition established for the multifractional vector Brownian motion.
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