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

DOI10.1216/JIE-2008-20-1-93zbMATH Open1147.60024arXivmath/0602356OpenAlexW2053171966MaRDI QIDQ2426596FDOQ2426596

Authors: Céline Jost 

Publication date: 23 April 2008

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

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].

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

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• scientific article; zbMATH DE number 2051039

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)

Cites Work

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

Cited In (8)

• On the approximation of Lévy driven Volterra processes and their integrals
• Fractional Lévy processes as a result of compact interval integral transformation
• Robustness and sensitivity analyses of rough Volterra stochastic volatility models
• Deconvolution of fractional brownian motion
• DECOMPOSITION FORMULA FOR ROUGH VOLTERRA STOCHASTIC VOLATILITY MODELS
• Representation formulae for the fractional Brownian motion
• A connection between the stochastic heat equation and fractional Brownian motion, and a simple proof of a result of Talagrand
• Transformation formulas for fractional Brownian motion

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