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Abstract: In this paper we introduce and study a self-similar Gaussian process that isthe bifractional Brownian motion $B^{H,K}$ with parameters $H\in 0,1$ and$K\in1,2$ such that $HK\in0,1$. A remarkable difference between the case$K\in0,1$ and our situation is that this process is a semimartingale when$2HK=1$.



Autor: Xavier Bardina, Khalifa Es-Sebaiy SAMM

Fuente: https://arxiv.org/







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