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Notes on the two-dimensional fractional Brownian motion

Fabrice Baudoin·David Nualart
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Abstract

We study the two-dimensional fractional Brownian motion with Hurst parameter $H>{1/2}$. In particular, we show, using stochastic calculus, that this process admits a skew-product decomposition and deduce from this representation some asymptotic properties of the motion.

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Fabrice Baudoin, David Nualart. 2006-02-24. Notes on the two-dimensional fractional Brownian motion. https://doi.org/10.1214/009117905000000288

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