Further remarks on mixed fractional Brownian motion

Thäle, Christoph

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Journal article

Further remarks on mixed fractional Brownian motion

Thäle, Christoph Département de Mathématiques, Université de Fribourg, Switzerland

2009

Published in:

Applied Mathematical Sciences. - 2009, vol. 38, p. 1885-1901

English We study linear combinations of independent fractional Brownian motions and generalize several recent results from [10] and [17]. As a first new result we calculate explicitly the Hausdorff dimension of the sample paths of such processes. Moreover we compare different notions of fractional differentiability and calculate as a second new result explicitly the Cesáro fractional derivative of the critical oder. Moreover we consider the more interesting absolute Cesáro fractional derivative and calculate its value explicitly.

Faculty

Faculté des sciences et de médecine

Department

Département de Mathématiques

Language