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 Electronic Journal of Probability > Vol. 13 (2008) > Paper 38 open journal systems 


Self-similarity and fractional Brownian motion on Lie groups

Fabrice Baudoin, Institut de mathématiques, Toulouse
Laure Coutin, Universite Paris 5


Abstract
The goal of this paper is to define and study a notion of fractional Brownian motion on a Lie group. We define it as at the solution of a stochastic differential equation driven by a linear fractional Brownian motion. We show that this process has stationary increments and satisfies a local self-similar property. Furthermore the Lie groups for which this self-similar property is global are characterized.


Full text: PDF

Pages: 1120-1139

Published on: July 22, 2008
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Electronic Journal of Probability. ISSN: 1083-6489