Volume 19, 2015
|Page(s)||766 - 781|
|Published online||18 December 2015|
Bifractional Brownian motion: existence and border cases∗
1 St. Petersburg State University,
28 Stary, Peterhof, Bibliotechnaya
2 MAI, Linköping University, 58183 Linköping, Sweden.
Revised: 5 November 2015
Bifractional Brownian motion (bfBm) is a centered Gaussian process with covariance
R(H,K)(s,t) = 2−K((|s|2H + |t|2H)K − |t − s|2HK), s,t ∈ ℝ
We study the existence of bfBm for a given pair of parameters (h,k) and encounter some related limiting processes.
Mathematics Subject Classification: 60G15 / 42A82
Key words: Bifractional Brownian motion / Gaussian process / fractional Brownian motion
© EDP Sciences, SMAI, 2015
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