On the connection between Molchan-Golosov and Mandelbrot-van Ness representations of fractional Brownian motion

DOI10.1216/JIE-2008-20-1-93MaRDI QIDQ2426596zbMATHOpenAlexFDO

Authors Céline Jost

Publication date 23 April 2008

Published in Journal of Integral Equations and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0602356

zbMATH Keywords

fractional Brownian motionfractional calculusintegral transform

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional derivatives and integrals (26A33) Stochastic integrals (60H05) Self-similar stochastic processes (60G18)

Abstract: We proof a connection between the generalized Molchan-Golosov integral transform and the generalized Mandelbrot-Van Ness integral transform of fractional Brownian motion (fBm). The former changes fBm of arbitrary Hurst index K into fBm of index H by integrating over [0,t], whereas the latter requires integration over (-infty,t].

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Cites work

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(9)

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• Representation formulae for the fractional Brownian motion
• Fractional Lévy processes as a result of compact interval integral transformation
• Robustness and sensitivity analyses of rough Volterra stochastic volatility models
• On the approximation of Lévy driven Volterra processes and their integrals
• A unifying representation of path integrals for fractional Brownian motions
• Decomposition formula for rough Volterra stochastic volatility models
• Transformation formulas for fractional Brownian motion
• Deconvolution of fractional brownian motion

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