The renormalization group and fractional Brownian motion

Existence and Measurability of the Solution of the Stochastic Differential Equations Driven by Fractional Brownian Motion

Lacunary Fractional Brownian Motion

In this paper, a new class of Gaussian field is introduced called Lacunary Fractional Brownian Motion. Surprisingly we show that usually their tangent fields are not unique at every point. We also investigate the smoothness of the sample paths of Lacunary Fractional Brownian Motion using wavelet analysis.

Tempered fractional Brownian motion

Fractional Brownian motion and data

We analyze the fractal behavior of the high frequency part of the Fourier spectrum of fBm using multifractal analysis and show that it is not consistent with what is measured on real traac traces. We propose two extensions of fBm which come closer to actual traac traces multifractal properties.

Fractional martingales and characterization of the fractional Brownian motion

In this paper we introduce the notion of α-martingale as the fractional derivative of order α of a continuous local martingale, where α ∈ (−12 , 1 2), and we show that it has a nonzero finite variation of order 2 1+2α , under some integrability assumptions on the quadratic variation of the local martingale. As an application we establish an extension of Lévy’s characterization theorem for the f...