Prediction for some processes related to a fractional Brownian motion

DOI10.1016/J.SPL.2005.06.014zbMATH Open1089.60024OpenAlexW1977122601MaRDI QIDQ2489828FDOQ2489828

Authors: T. E. Duncan 

Publication date: 28 April 2006

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2005.06.014

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zbMATH Keywords

conditional expectation

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Prediction theory (aspects of stochastic processes) (60G25)

Cites Work

• Stochastic integration with respect to the fractional Brownian motion
• STOCHASTIC INTEGRATION FOR FRACTIONAL BROWNIAN MOTION IN A HILBERT SPACE
• Are classes of deterministic integrands for fractional Brownian motion on an interval complete?
• On the prediction of fractional Brownian motion
• Stochastic Calculus for Fractional Brownian Motion I. Theory
• Stochastic Control for Linear Systems Driven by Fractional Noises

Cited In (13)

• Some linear-quadratic stochastic differential games for equations in Hilbert spaces with fractional Brownian motions
• Conditional characteristic functions of Molchan-Golosov fractional Lévy processes with application to credit risk
• Corrigendum to ``Prediction for some processes related to a fractional Brownian motion
• On the prediction of fractional Brownian motion
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• Prediction of fractional processes with long-range dependence
• Conditional expectations and martingales in the fractional Brownian field
• Are fractional Brownian motions predictable?
• Prediction of fractional Brownian motion with Hurst index less than 1/2
• Prediction law of fractional Brownian motion
• Conditional distributions of processes related to fractional Brownian motion
• A general Bayes rule and its application to nonlinear estimation
• Prediction of Fractional Brownian Motion-Type Processes

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