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Abstract:Weighted sub-fractional Brownian motion was introduced as a centered Gaussian process with covariance
$$ Q_{a,b}(s,t)=\frac{1}{1-b}\int_0^{s\wedge t}u^a[(s-u)^b+(t-u)^b-(s+t-2u)^b]\,du. $$
This kernel was proved to be positive definite for $a>-1$ and $b\in[0,2]\setminus{1}$, and also for $a>-1$, $-1<b<0$, and $a+b+1\ge0$. In this paper, we replace the power weight $u^a$ by a measurable non-negative function $f:\mathbb R_+\to\mathbb R_+$ satisfying
$$ \int_0^t f(u)(t-u)^b\,du<\infty,\qquad t>0, $$
and consider the kernel
$$ R_{f,b}(s,t)=\frac{1}{1-b}\int_0^{s\wedge t}f(u)[(s-u)^b+(t-u)^b-(s+t-2u)^b]\,du. $$
We prove that, for $b>-1$, $b\ne1$, the kernel $R_{f,b}$ is positive definite for every such function $f$ if and only if $b\in[0,1)\cup(1,2]$. For every $b\in(-1,0)\cup(2,\infty)$, we construct a non-negative function $f$ satisfying the integrability condition for which $R_{f,b}$ is not positive definite. The case $b=1$ is obtained as a logarithmic limit. For the associated Gaussian process, we study Hölder regularity, total and quadratic variation, non-stationarity, and long-range dependence. For $b\in(0,1)\cup(1,2]$, we also define differential equations driven by this process and establish pathwise convergence of the corresponding Euler approximation, together with strong $L^p$-rates under the additional regularity assumptions stated below. The logarithmic boundary $b=1$ is included in the covariance theory but is not part of the pathwise-equation and Euler results.

Submission history

From: Jose Hermenegildo Ramirez Gonzalez [view email]
[v1] Sat, 7 Sep 2024 11:29:18 UTC (6,452 KB)
[v2] Fri, 28 Aug 2026 18:40:32 UTC (2,580 KB)