Transfer principle for $n$th order fractional Brownian motion with applications to prediction and equivalence in law

DOI10.1090/TPMS/1071zbMath1488.60099arXiv1801.07574OpenAlexW2969471484WikidataQ114848709 ScholiaQ114848709MaRDI QIDQ5230218

Lauri Viitasaari, Tommi Sottinen

Publication date: 21 August 2019

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1801.07574

zbMATH Keywords

predictionfractional Brownian motionstochastic analysistransfer principleequivalence in law

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic analysis (60H99) Prediction theory (aspects of stochastic processes) (60G25)

Related Items (5)

Fractional Lévy stable motion: finite difference iterative forecasting model ⋮ Statistical inference for models driven by 𝑛-th order fractional Brownian motion ⋮ Mixtures of higher-order fractional Brownian motions ⋮ Stochastic analysis of Gaussian processes via Fredholm representation ⋮ A Gladyshev theorem for trifractional Brownian motion and \(n\)-th order fractional Brownian motion

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