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| Auteurs principaux: | , , |
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| Format: | Preprint |
| Publié: |
2023
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| Sujets: | |
| Accès en ligne: | https://arxiv.org/abs/2312.12139 |
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Table des matières:
- In this paper we introduce a definition of a multi-dimensional fractional Brownian motion of Hurst index $H \in (0, 1)$ under volatility uncertainty (in short G-fBm). We study the properties of such a process and provide first results about stochastic calculus with respect to a fractional G-Brownian motion for a Hurst index $H >\frac{1}{2}$ .