Campuses:

Bifractional Brownian Motion: Existence and Border Cases

Thursday, April 30, 2015 - 3:10pm - 4:00pm
Keller 3-180
Mikhail Lifshits (St. Petersburg State University)
Bifractional Brownian motions introduced by Houdre and Villa is an interesting family of self-similar Gaussian processes depending on two parameters H,K and reducing to the classical fractional Brownian motion when K=1.

We study the existence of the bifractional Brownian motion for a given pair (H,K) and encounter some related limiting processes. Our main tool is the spectral analysis of appropriate fractional stationary processes.

This is a joint work with Ksenia Volkova.
MSC Code: 
40Axx