Deconvolution of fractional brownian motion
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Cites work
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(12)- Affine representations of fractional processes with applications in mathematical finance
- On the connection between Molchan-Golosov and Mandelbrot-van Ness representations of fractional Brownian motion
- Large deviations for local times and intersection local times of fractional Brownian motions and Riemann-Liouville processes
- Time reversal for drifted fractional Brownian motion with Hurst index \(H > 1/2\)
- A compressed sensing approach to interpolation of fractional Brownian trajectories for a single particle tracking experiment
- Conditional distributions of Mandelbrot-Van Ness fractional Lévy processes and continuous-time ARMA-GARCH-type models with long memory
- A class of self-similar stochastic processes with stationary increments to model anomalous diffusion in physics
- Stochastic differential equations driven by an additive fractional Brownian sheet
- Anisotropic functional deconvolution with long-memory noise: the case of a multi-parameter fractional Wiener sheet
- Wiener Spiral for Volatility Modeling
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