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1 LMJL - Laboratoire de Mathématiques Jean Leray 2 Vilnius Institute of Mathematics and Informatics

Abstract : The paper obtains the general form of the cross-covariance function of vector fractional Brownian motion with correlated components having different self-similarity indices.

Keywords : covariance structure operator self-similar stochastic integral representation vector fractional Brownian motion





Autor: Frédéric Lavancier - Anne Philippe - Donatas Surgailis -

Fuente: https://hal.archives-ouvertes.fr/



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