Weighted Sub-fractional Brownian Motion: Covariance Structure, Path Properties and Euler Approximation

Abstract

Weighted sub-fractional Brownian motion was introduced as a centered Gaussian process with covariance $$ Q_{a,b}(s,t)=\frac{1}{1-b}\int_0^{s\wedge t}u^a[(s-u)^b+(t-u)^b-(s+t-2u)^b]\,du. $$ This kernel was proved to be positive definite for $a>-1$ and $b\in[0,2]\setminus{1}$, and also for $a>-1$, $-1 0, $$ and consider the kernel $$ R_{f,b}(s,t)=\frac{1}{1-b}\int_0^{s\wedge t}f(u)[(s-u)^b+(t-u)^b-(s+t-2u)^b]\,du. $$ We prove that, for $b>-1$, $b\ne1$, the kernel $R_{f,b}$ is positive definite for every such function $f$ if and only if $b\in[0,1)\cup(1,2]$. For every $b\in(-1,0)\cup(2,\infty)$, we construct a non-negative function $f$ satisfying the integrability condition for which $R_{f,b}$ is not positive definite. The case $b=1$ is obtained as a logarithmic limit. For the associated Gaussian process, we study H\"older regularity, total and quadratic variation, non-stationarity, and long-range dependence. For $b\in(0,1)\cup(1,2]$, we also define differential equations driven by this process and establish pathwise convergence of the corresponding Euler approximation, together with strong $L^p$-rates under the additional regularity assumptions stated below. The logarithmic boundary $b=1$ is included in the covariance theory but is not part of the pathwise-equation and Euler results.