Bifractional Brownian motion: existence and border cases

Mikhail Lifshits, Ksenia Volkova

Published 2015-02-08Version 1

Bifractional Brownian motion (bfBm) is a centered Gaussian process with covariance \[ R^{(H,K)}(s,t)= 2^{-K} \left( \left(|s|^{2H}+|t|^{2H} \right)^{K}-|t-s|^{2HK}\right), \qquad s,t\in R. \] We study the existence of bfBm for a given pair of parameters $(H,K)$ and encounter some related limiting processes.