On the prediction of fractional Brownian motion

DOI10.2307/3215063zbMath0861.60049OpenAlexW2069786653MaRDI QIDQ4891671

Ilkka Norros, Gustaf Gripenberg

Publication date: 27 October 1996

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3215063

zbMATH Keywords

predictionfractional Brownian motionstochastic integration

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Gaussian processes (60G15) Self-similar stochastic processes (60G18) Prediction theory (aspects of stochastic processes) (60G25)

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