On the $n$th-Order subfractional Brownian motion

El Omari Mohamed; Mabdaoui Mohamed

Makale detayları

On the $n$th-Order subfractional Brownian motion

Yazarlar:

El Omari Mohamed | Mabdaoui Mohamed

Yayıncı:

Hacettepe University

Ana Başlıklar:

Statistics

Dergi:

Hacettepe Journal of Mathematics and Statistics Vol.52 Issue 5, pp.1396-1407

Belge Tipi:

Makale

Yayın Tarihi:

10/2023

Belge Dili:

İngilizce

Document ID (Org No.):

2001301695

pISSN:

2651-477X

Anahtar kelimeler:

Özet:

 In the present work, we introduce the nth-Order subfractional Brownian motion S_Hn  lbrace S_Hnt,tgeq 0rbrace with Hurst index Hin n-1,n and order ngeq 1; then we examine some of its basic properties: self-similarity, long-range dependence, non Markovian nature and semimartingale property. A local law of iterated logarithm for S_Hn is also established.

 In the present work, we introduce the nth-Order subfractional Brownian motion S_Hn  lbrace S_Hnt,tgeq 0rbrace with Hurst index Hin n-1,n and order ngeq 1; then we examine some of its basic properties: self-similarity, long-range dependence, non Markovian nature and semimartingale property. A local law of iterated logarithm for S_Hn is also established.

 In the present work, we introduce the nth-Order subfractional Brownian motion S_Hn  lbrace S_Hnt,tgeq 0rbrace with Hurst index Hin n-1,n and order ngeq 1; then we examine some of its basic properties: self-similarity, long-range dependence, non Markovian nature and semimartingale property. A local law of iterated logarithm for S_Hn is also established.

 In the present work, we introduce the nth-Order subfractional Brownian motion S_Hn  lbrace S_Hnt,tgeq 0rbrace with Hurst index Hin n-1,n and order ngeq 1; then we examine some of its basic properties: self-similarity, long-range dependence, non Markovian nature and semimartingale property. A local law of iterated logarithm for S_Hn is also established.

Makale detayları

On the $n$th-Order subfractional Brownian motion

Yazarlar:

El Omari Mohamed | Mabdaoui Mohamed

Yayıncı:

Hacettepe University

Ana Başlıklar:

Statistics

Dergi:

Hacettepe Journal of Mathematics and Statistics Vol.52 Issue 5, pp.1396-1407

Belge Tipi:

Makale

Yayın Tarihi:

10/2023

Belge Dili:

İngilizce

Document ID (Org No.):

2001301695

pISSN:

2651-477X

Gaussian self-similar process

non Markovian process

subfractional Brownian motion

semimartingale property

local law of the iterated logarithm

Sayı

Makale detayları

On the $n$th-Order subfractional Brownian motion

Yazarlar: El Omari Mohamed | Mabdaoui Mohamed

Yayıncı: Hacettepe University

Ana Başlıklar: Statistics

Dergi: Hacettepe Journal of Mathematics and Statistics Vol.52 Issue 5, pp.1396-1407

Belge Tipi: Makale

Yayın Tarihi: 10/2023

Belge Dili: İngilizce

Document ID (Org No.): 2001301695

pISSN: 2651-477X

Gaussian self-similar process

non Markovian process

subfractional Brownian motion

semimartingale property

local law of the iterated logarithm

Sayı

Yazarlar:

El Omari Mohamed | Mabdaoui Mohamed

Yayıncı:

Hacettepe University

Ana Başlıklar:

Statistics

Dergi:

Hacettepe Journal of Mathematics and Statistics Vol.52 Issue 5, pp.1396-1407

Belge Tipi:

Makale

Yayın Tarihi:

10/2023

Belge Dili:

İngilizce

Document ID (Org No.):

2001301695

pISSN:

2651-477X