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

DOI10.1216/JIE-2008-20-1-93zbMath1147.60024arXivmath/0602356OpenAlexW2053171966MaRDI QIDQ2426596

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 motionintegral transformfractional calculus

Mathematics Subject Classification ID

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

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Cites Work

• Transformation formulas for fractional Brownian motion
• Stochastic analysis of the fractional Brownian motion
• Integration questions related to fractional Brownian motion
• Deconvolution of fractional brownian motion
• Fractional Brownian Motions, Fractional Noises and Applications
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