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Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Mazzon, Andrea und Oberpriller, Katharina (Dezember 2023): Multi-dimensional fractional Brownian motion in the G-setting.

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Abstract

In this paper we introduce a definition of a multi-dimensional fractional Brownian motion of Hurst index H∈(0,1) under volatility uncertainty (in short G-fBm). We study the properties of such a process and provide first results about stochastic calculus with respect to a fractional G-Brownian motion for a Hurst index H > 1/2

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