Semimartingale representation of fractional Riesz-Bessel motion (Q5942934)

The authors considers fractional Riesz-Bessel motion. It is a Gaussian process which has stationary increments and spectral density \[ g(\lambda)={{c}\over{|\lambda|^{2\gamma}(1+\lambda^2)^\alpha}},\qquad c>0,\;1/2<\gamma <3/2,\;\alpha \geq 0,\;\lambda \in R. \] Some definitions and preliminary properties of fractional Riesz-Bessel motion are given. The prediction formula for fractional Riesz-Bessel motion is obtained. The semimartingale property of fractional Riesz-Bessel motion is proven.