Multi-dimensional fractional Brownian motion in the G-setting

Biagini, Francesca ; Mazzon, Andrea und Oberpriller, Katharina (Dezember 2023): Multi-dimensional fractional Brownian motion in the G-setting.

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

• Dokumententyp: Paper
• Fakultät: Mathematik, Informatik und Statistik > Mathematik > Finanz- und Versicherungsmathematik
• Themengebiete: 500 Naturwissenschaften und Mathematik > 510 Mathematik