Stochastic analysis for vector-valued generalized grey Brownian motion
Stochastic analysis for vector-valued generalized grey Brownian motion
In this article, we show that the standard vector-valued generalization of a generalized grey Brownian motion (ggBm) has independent components if and only if it is a fractional Brownian motion. In order to extend ggBm with independent components, we introduce a vector-valued generalized grey Brownian motion (vggBm). The characteristic function …