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math.PR2021★ 3 cited
Long-range dependent completely correlated mixed fractional Brownian motion
Josephine Dufitinema, Foad Shokrollahi, Tommi Sottinen +1
In this paper we introduce the long-range dependent completely correlated mixed fractional Brownian motion (ccmfBm). This is a process that is driven by a mixture of Brownian motio…
math.PR2021
Multi-Mixed Fractional Brownian Motions and Orstein-Uhlenbeck Processes
Hamidreza Maleki Almani, Tommi Sottinen
We study the so-called multi-mixed fractional Brownian motions (mmfBm) and multi-mixed fractional Ornstein--Ulhenbeck (mmfOU) processes. These processes are constructed by mixing b…