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arXiv · 1002.3680

An extension of bifractional Brownian motion

Xavier Bardina·Khalifa Es-Sebaiy
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Abstract

In this paper we introduce and study a self-similar Gaussian process that is the bifractional Brownian motion $B^{H,K}$ with parameters $H\in (0,1)$ and $K\in(1,2)$ such that $HK\in(0,1)$. A remarkable difference between the case $K\in(0,1)$ and our situation is that this process is a semimartingale when $2HK=1$.

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Xavier Bardina, Khalifa Es-Sebaiy. 2011-05-09. An extension of bifractional Brownian motion. https://arxiv.org/abs/1002.3680

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