| Título: | Self-similarity and fractional Brownian motion on Lie groups |
| Autores: |
Baudoin, Fabrice; Institut de mathématiques, Toulouse Coutin, Laure; Universite Paris 5 |
| Fecha: | 2008-01-01 |
| Publicador: | Electronic journal of probability |
| Fuente: |
 |
| Tipo: |
Peer-reviewed Article |
| Tema: |
Fractional Brownian motion, Lie group 60G15, 60G18 |
| Descripción: | The goal of this paper is to define and study a notion of fractional Brownian motion on a Lie group. We define it as at the solution of a stochastic differential equation driven by a linear fractional Brownian motion. We show that this process has stationary increments and satisfies a local self-similar property. Furthermore the Lie groups for which this self-similar property is global are characterized. |
| Idioma: | No aplica |
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