Let X be a fractional Brownian motion. It is known that M t = m t dX; t ΒΏ 0, where m t is a certain kernel, deΓΏnes a martingale M , and also that X can be represented by X t = x t dM; t ΒΏ 0, for some kernel x t . We derive these results by using the spectral representation of the covariance function
Accelerating Brownian motion: A fractional dynamics approach to fast diffusion
β Scribed by Metzler, R; Klafter, J
- Book ID
- 118044908
- Publisher
- EDP Sciences
- Year
- 2000
- Tongue
- English
- Weight
- 159 KB
- Volume
- 51
- Category
- Article
- ISSN
- 0295-5075
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