Linear Problems for a Fractional Brownian Motion: Group Approach

DOI10.1137/S0040585X97979445MaRDI QIDQ4442887zbMATH OpenFDO

Authors G. M. Molchan

Publication date 21 January 2004

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/S0040585X97979445

zbMATH Keywords

extrapolationfractional Brownian motionGirsanov's formula

Mathematics Subject Classification ID

Gaussian processes (60G15) Brownian motion (60J65)

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Cited in

(7)

• Krein's spectral theory and the Paley-Wiener expansion for fractional Brownian motion
• An extension of the Lévy characterization to fractional Brownian motion
• Representations of fractional Brownian motion using vibrating strings
• Representation formulae for the fractional Brownian motion
• On the infinite time horizon linear-quadratic regulator problem under a fractional Brownian perturbation
• Distance between the fractional Brownian motion and the space of adapted Gaussian martingales
• Unbiased density computation for stochastic resetting

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