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On bifractional Brownian motion

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  • Russo, Francesco
  • Tudor, Ciprian A.

Abstract

This paper is devoted to analyzing several properties of the bifractional Brownian motion introduced by Houdré and Villa. This process is a self-similar Gaussian process depending on two parameters H and K and it constitutes a natural generalization of fractional Brownian motion (which is obtained for K=1). Here, we adopt the strategy of stochastic calculus via regularization. Of particular interest to us is the case . In this case, the process is a finite quadratic variation process with bracket equal to a constant times t and it has the same order of self-similarity as standard Brownian motion. It is a short-memory process even though it is neither a semimartingale nor a Dirichlet process.

Suggested Citation

  • Russo, Francesco & Tudor, Ciprian A., 2006. "On bifractional Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 116(5), pages 830-856, May.
    • Handle: RePEc:eee:spapps:v:116:y:2006:i:5:p:830-856
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    References listed on IDEAS

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    1. Baudoin, Fabrice & Nualart, David, 2003. "Equivalence of Volterra processes," Stochastic Processes and their Applications, Elsevier, vol. 107(2), pages 327-350, October.
    2. Errami, Mohammed & Russo, Francesco, 2003. "n-covariation, generalized Dirichlet processes and calculus with respect to finite cubic variation processes," Stochastic Processes and their Applications, Elsevier, vol. 104(2), pages 259-299, April.
    3. Bender, Christian, 2003. "An Itô formula for generalized functionals of a fractional Brownian motion with arbitrary Hurst parameter," Stochastic Processes and their Applications, Elsevier, vol. 104(1), pages 81-106, March.
    4. Coutin, Laure & Nualart, David & Tudor, Ciprian A., 2001. "Tanaka formula for the fractional Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 94(2), pages 301-315, August.
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    Citations

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    Cited by:

    1. Skorniakov, V., 2019. "On a covariance structure of some subset of self-similar Gaussian processes," Stochastic Processes and their Applications, Elsevier, vol. 129(6), pages 1903-1920.
    2. Harnett, Daniel & Nualart, David, 2018. "Central limit theorem for functionals of a generalized self-similar Gaussian process," Stochastic Processes and their Applications, Elsevier, vol. 128(2), pages 404-425.
    3. Benjamin Gess & Cheng Ouyang & Samy Tindel, 2020. "Density Bounds for Solutions to Differential Equations Driven by Gaussian Rough Paths," Journal of Theoretical Probability, Springer, vol. 33(2), pages 611-648, June.
    4. Xu Feng, 2020. "Bifractional Black-Scholes Model for Pricing European Options and Compound Options," Journal of Systems Science and Information, De Gruyter, vol. 8(4), pages 346-355, August.
    5. Yu, Qian & Bajja, Salwa, 2020. "Volatility estimation of general Gaussian Ornstein–Uhlenbeck process," Statistics & Probability Letters, Elsevier, vol. 163(C).
    6. Tommi Sottinen & Lauri Viitasaari, 2018. "Parameter estimation for the Langevin equation with stationary-increment Gaussian noise," Statistical Inference for Stochastic Processes, Springer, vol. 21(3), pages 569-601, October.
    7. Nualart, David & Xu, Fangjun, 2019. "Asymptotic behavior for an additive functional of two independent self-similar Gaussian processes," Stochastic Processes and their Applications, Elsevier, vol. 129(10), pages 3981-4008.
    8. Daniel Harnett & Arturo Jaramillo & David Nualart, 2019. "Symmetric Stochastic Integrals with Respect to a Class of Self-similar Gaussian Processes," Journal of Theoretical Probability, Springer, vol. 32(3), pages 1105-1144, September.
    9. Cristina Girolami & Giorgio Fabbri & Francesco Russo, 2014. "The covariation for Banach space valued processes and applications," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 77(1), pages 51-104, January.
    10. Slominski, Leszek & Ziemkiewicz, Bartosz, 2009. "On weak approximations of integrals with respect to fractional Brownian motion," Statistics & Probability Letters, Elsevier, vol. 79(4), pages 543-552, February.
    11. Lei, Pedro & Nualart, David, 2009. "A decomposition of the bifractional Brownian motion and some applications," Statistics & Probability Letters, Elsevier, vol. 79(5), pages 619-624, March.
    12. Rosanna Coviello & Cristina Di Girolami & Francesco Russo, 2011. "On stochastic calculus related to financial assets without semimartingales," Papers 1102.2050, arXiv.org.
    13. Zhang, Xili & Xiao, Weilin, 2017. "Arbitrage with fractional Gaussian processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 620-628.
    14. Harnett, Daniel & Nualart, David, 2012. "Weak convergence of the Stratonovich integral with respect to a class of Gaussian processes," Stochastic Processes and their Applications, Elsevier, vol. 122(10), pages 3460-3505.

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