Particle picture interpretation of some Gaussian processes related to fractional Brownian motion

We construct fractional Brownian motion, sub-fractional Brownian motion and negative sub-fractional Brownian motion by means of limiting procedures applied to some particle systems. These processes are obtained for full ranges of Hurst parameter.

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Year of publication:	2012
Authors:	Bojdecki, Tomasz ; Talarczyk, Anna
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 122.2012, 5, p. 2134-2154
Publisher:	Elsevier
Subject:	Fractional Brownian motion \| Sub-fractional Brownian motion \| Negative sub-fractional Brownian motion \| Particle system \| Density process \| Occupation time fluctuation limit

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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