Fine properties of fractional Brownian motions on Wiener space

Jiawei Li*, Zhongmin Qian

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

Abstract

We study several important fine properties for the family of fractional Brownian motions with Hurst parameter H under the (p, r)-capacity on classical Wiener space introduced by Malliavin. We regard fractional Brownian motions as Wiener functionals via the integral representation discovered by Decreusefond and Üstünel, and show non-differentiability, modulus of continuity, law of the iterated logarithm (LIL) and self-avoiding properties of fractional Brownian motion sample paths using Malliavin calculus as well as the tools developed in the previous work by Fukushima, Takeda and etc. for Brownian motion case.
Original languageEnglish
Pages (from-to)141-173
JournalJournal of mathematical analysis and applications
Volume473
Issue number1
Early online date18 Dec 2018
DOIs
Publication statusPublished - 1 May 2019

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