Prediction for some processes related to a fractional Brownian motion

DOI10.1016/J.SPL.2005.06.014MaRDI QIDQ2489828zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

conditional expectation

Mathematics Subject Classification ID

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

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Cites work

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

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(13)

• Some linear-quadratic stochastic differential games for equations in Hilbert spaces with fractional Brownian motions
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• On the prediction of fractional Brownian motion
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• Prediction of fractional processes with long-range dependence
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