Let {S t H, t ≥ 0） be a linear combination of a Brownian motion and an independent sub-fractional Brownian motion with Hurst index 0 〈 H 〈 1. Its main properties are studied. They suggest that SH lies between the ...Let {S t H, t ≥ 0） be a linear combination of a Brownian motion and an independent sub-fractional Brownian motion with Hurst index 0 〈 H 〈 1. Its main properties are studied. They suggest that SH lies between the sub-fractional Brownian motion and the mixed fractional Brownian motion. We also determine the values of H for which SH is not a semi-martingale.展开更多
文摘Let {S t H, t ≥ 0） be a linear combination of a Brownian motion and an independent sub-fractional Brownian motion with Hurst index 0 〈 H 〈 1. Its main properties are studied. They suggest that SH lies between the sub-fractional Brownian motion and the mixed fractional Brownian motion. We also determine the values of H for which SH is not a semi-martingale.
