Abstract
Abstract In 1962 Lamperti introduced a transformation that associates to every non-trivial self-similar process a strictly stationary process. This transform has been widely studied for Gaussian processes and in particular for fractional Brownian motion. Our aim is to analyze various properties of the Lamperti transform of the fractional Brownian sheet. We give the stochastic differential equation satisfied by this transform and we represent it as a series of independent Ornstein-Uhlenbeck sheets.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have