An extension of the Lévy characterization to fractional Brownian motion
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Publication:2431515
DOI10.1214/10-AOP555zbMath1227.60051arXivmath/0611913OpenAlexW3102244812MaRDI QIDQ2431515
Esko Valkeila, Yuliya S. Mishura
Publication date: 15 April 2011
Published in: The Annals of Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0611913
Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stochastic analysis (60H99)
Related Items (6)
On integration by parts formula and characterization of fractional Ornstein-Uhlenbeck process ⋮ Large deviations of Shepp statistics for fractional Brownian motion ⋮ Optimal Sequential Change Detection for Fractional Diffusion-Type Processes ⋮ On Piterbarg's max-discretisation theorem for multivariate stationary Gaussian processes ⋮ Fractional martingales and characterization of the fractional Brownian motion ⋮ Integration with respect to fractional local time with Hurst index \(1/2 < \text H < 1\)
Cites Work
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- Fractional martingales and characterization of the fractional Brownian motion
- An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
- Stochastic calculus for fractional Brownian motion and related processes.
- L\({}^ p\) estimates on iterated stochastic integrals
- Arbitrage with Fractional Brownian Motion
- Linear Problems for a Fractional Brownian Motion: Group Approach
- Fractional Brownian Motions, Fractional Noises and Applications
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