Conditional expectations and martingales in the fractional Brownian field

DOI10.1214/09-IMSCOLL515zbMATH Open1243.60037MaRDI QIDQ2900959FDOQ2900959

Authors: Vladimir Dobrić, Francisco M. Ojeda 

Publication date: 26 July 2012

Published in: Institute of Mathematical Statistics Collections (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.imsc/1265119271

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zbMATH Keywords

fractional Brownian motionsfractional Brownian fieldfundamental martingales

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Martingales with continuous parameter (60G44) Self-similar stochastic processes (60G18)

Cited In (4)

• Fractional Brownian fields, duality, and martingales
• Short time behavior of the ATM implied skew in the ADO-Heston model
• Expectation, conditional expectation and martingales in local fields
• The conditional law of the Bacry-Muzy and Riemann-Liouville log correlated Gaussian fields and their GMC, via Gaussian Hilbert and fractional Sobolev spaces

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