From N parameter fractional Brownian motions to N parameter multifractional Brownian motions

@article{Herbin2005FromNP,
  title={From N parameter fractional Brownian motions to N parameter multifractional Brownian motions},
  author={E. Herbin},
  journal={Rocky Mountain Journal of Mathematics},
  year={2005},
  volume={36},
  pages={1249-1284}
}
  • E. Herbin
  • Published 2005
  • Mathematics
  • Rocky Mountain Journal of Mathematics
Multifractional Brownian motion is an extension of the well-known fractional Brownian motion where the H¨older regularity is allowed to vary along the paths. In this paper, two kinds of multi-parameter extensions of mBm are studied: one is isotropic while the other is not. For each of these processes, a moving average representation, a harmonizable representation, and the covariance structure are given. The H¨older regularity is then studied. In particular, the case of an irregular exponent… Expand

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