Prediction of Fractional Brownian Motion-Type Processes

DOI10.1080/07362990701282971MaRDI QIDQ3446964zbMATH OpenOpenAlexFDO

Authors Akihiko Inoue, Vo V. Anh

Publication date 27 June 2007

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://eprints.qut.edu.au/15029/1/15029.pdf

zbMATH Keywords

fractional Brownian motionHurst indexprediction

Mathematics Subject Classification ID

Gaussian processes (60G15) Prediction theory (aspects of stochastic processes) (60G25)

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Cites work

• Explicit representation of finite predictor coefficients and its applications
• Financial Markets with Memory II: Innovation Processes and Expected Utility Maximization
• Foundations of time series analysis and prediction theory
• scientific article; zbMATH DE number 3751955 (Why is no real title available?)
• scientific article; zbMATH DE number 614990 (Why is no real title available?)
• Linear estimation of self-similar processes via Lamperti's transformation
• On the prediction of fractional Brownian motion
• Prediction of fractional Brownian motion with Hurst index less than 1/2

Cited in

(12)

• Prediction for some processes related to a fractional Brownian motion
• Are fractional Brownian motions predictable?
• Prediction of fractional Brownian motion with Hurst index less than 1/2
• An extension of Wiener integration with the use of operator theory
• Q-Fractional Brownian Motion in Infinite Dimensions with Application to Fractional Black–Scholes Market
• Prediction of fractional processes with long-range dependence
• On the prediction of fractional Brownian motion
• Transfer principle for nth order fractional Brownian motion with applications to prediction and equivalence in law
• A post-predictive view of gaussian processes
• Semimartingale representation of fractional Riesz-Bessel motion
• Representation theorems in finite prediction, with applications
• Baxter's inequality for fractional Brownian motion-type processes with Hurst index less than 1/2

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