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Self-similarity and fractional Brownian motion on Lie groups


 
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1. Title Title of document Self-similarity and fractional Brownian motion on Lie groups
 
2. Creator Author's name, affiliation, country Fabrice Baudoin; Institut de mathématiques, Toulouse
 
2. Creator Author's name, affiliation, country Laure Coutin; Universite Paris 5
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Fractional Brownian motion, Lie group
 
3. Subject Subject classification 60G15, 60G18
 
4. Description Abstract 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.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s) Research Project ANR-06-BLAN-0289
 
7. Date (YYYY-MM-DD) 2008-07-22
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ejp.ejpecp.org/article/view/530
 
10. Identifier Digital Object Identifier 10.1214/EJP.v13-530
 
11. Source Journal/conference title; vol., no. (year) Electronic Journal of Probability; Vol 13
 
12. Language English=en
 
14. Coverage Geo-spatial location, chronological period, research sample (gender, age, etc.)
 
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