{"title":"A note on the correlation matrix of fractional Brownian motion","authors":"N. Kosugi","doi":"10.12988/IMF.2019.917","DOIUrl":null,"url":null,"abstract":"Let XH(t) be a fractional Brownian motion with index H (1/2 < H < 1), and let Dn(t0, t1, . . . tn) (0 ≤ t0 < t1 < · · · < tn) denote the correlation matrix of {X(tk)−X(tk−1) : k = 1, . . . , n}. In this paper, we give an evaluation of detDn. Mathematics Subject Classification: 60G15, 60G18","PeriodicalId":107214,"journal":{"name":"International Mathematical Forum","volume":"9 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Mathematical Forum","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.12988/IMF.2019.917","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
Abstract
Let XH(t) be a fractional Brownian motion with index H (1/2 < H < 1), and let Dn(t0, t1, . . . tn) (0 ≤ t0 < t1 < · · · < tn) denote the correlation matrix of {X(tk)−X(tk−1) : k = 1, . . . , n}. In this paper, we give an evaluation of detDn. Mathematics Subject Classification: 60G15, 60G18
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