Fractional Brownian Vector Fields

A version of Hörmander’s theorem for the fractional Brownian motion

It is shown that the law of an SDE driven by fractional Brownian motion with Hurst parameter greater than 1/2 has a smooth density with respect to Lebesgue measure, provided that the driving vector fields satisfy Hörmander’s condition. The main new ingredient of the proof is an extension of Norris’ lemma to this situation.

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

Properties of local-nondeterminism of Gaussian and stable random fields and their applications

— In this survey, we first review various forms of local nondeterminism and sectorial local nondeterminism of Gaussian and stable random fields. Then we give sufficient conditions for Gaussian random fields with stationary increments to be strongly locally nondeterministic (SLND). Finally, we show some applications of SLND in studying sample path properties of (N, d)-Gaussian random fields. The...

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.

Convergence to Weighted Fractional Brownian Sheets*

We define weighted fractional Brownian sheets, which are a class of Gaussian random fields with four parameters that include fractional Brownian sheets as special cases, and we give some of their properties. We show that for certain values of the parameters the weighted fractional Brownian sheets are obtained as limits in law of occupation time fluctuations of a stochastic particle model. In co...