TY - JOUR
AU - Mounir, Zili
AB - Let {S


t


H

, t ≥ 0} be a linear combination of a Brownian motion and an independent sub-fractional Brownian motion with Hurst index 0 < H < 1. Its main properties are studied. They suggest that S

H
 lies between the sub-fractional Brownian motion and the mixed fractional Brownian motion. We also determine the values of H for which S

H
 is not a semi-martingale.
TI - On the sub-mixed fractional Brownian motion
JF - Applied Mathematics-A Journal of Chinese Universities
DO - 10.1007/s11766-015-3198-6
DA - 2015-03-10
UR - https://www.deepdyve.com/lp/springer-journals/on-the-sub-mixed-fractional-brownian-motion-SyMmcpmz1Q
SP - 27
EP - 43
VL - 30
IS - 1
DP - DeepDyve
ER -