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arXiv · 2312.12139

Multi-dimensional fractional Brownian motion in the G-setting

Francesca Biagini·Andrea Mazzon·Katharina Oberpriller
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Abstract

In this paper we introduce a definition of a multi-dimensional fractional Brownian motion of Hurst index $H \in (0, 1)$ under volatility uncertainty (in short G-fBm). We study the properties of such a process and provide first results about stochastic calculus with respect to a fractional G-Brownian motion for a Hurst index $H >\frac{1}{2}$ .

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Francesca Biagini, Andrea Mazzon, Katharina Oberpriller. 2023-12-19. Multi-dimensional fractional Brownian motion in the G-setting. https://arxiv.org/abs/2312.12139

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