A characterization of the set-indexed fractional Brownian motion by increasing paths
Work
Year: 2006
Type: article
Abstract: We prove that a set-indexed process is a set-indexed fractional Brownian motion if and only if its projections on all the increasing paths are one-parameter time changed fractional Brownian motions. A... more
Source: Comptes Rendus Mathématique
Authors Érick Herbin, Ely Merzbach
Institutions Dassault Aviation (France), Bar-Ilan University
Cites: 6
Cited by: 5
Related to: 10
FWCI: 0.925
Citation percentile (by year/subfield): 67.36
Subfield: Finance
Domain: Social Sciences
Open Access status: hybrid
APC paid (est):