Local independence of fractional Brownian motion
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Publication:734630
DOI10.1016/j.spa.2009.05.004zbMath1176.60030arXiv0711.4809OpenAlexW1986933264WikidataQ109553826 ScholiaQ109553826MaRDI QIDQ734630
Publication date: 13 October 2009
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0711.4809
Gaussian processes (60G15) Communication, information (94A99) Self-similar stochastic processes (60G18) Stochastic analysis (60H99)
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Information-based long-range dependence ⋮ Representation of local times of fractional Brownian motion ⋮ Large deviation estimates of the crossing probability for pinned Gaussian processes ⋮ Large deviations of infinite intersections of events in Gaussian processes ⋮ A tree approach to \(p\)-variation and to integration ⋮ Representation Formulae for the Fractional Brownian Motion
Cites Work
- Large deviations of infinite intersections of events in Gaussian processes
- Calculation of the amount of information about a random function contained in another such function
- On the Structure of the Infinitesimal $\sigma $-Algebra of a Gaussian Process
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