Conditional expectations and martingales in the fractional Brownian field

DOI10.1214/09-IMSCOLL515zbMath1243.60037MaRDI QIDQ2900959

Francisco M. Ojeda, Vladimir Dobric

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

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)