Are fractional Brownian motions predictable?

DOI10.1007/978-3-0348-0021-1_10zbMATH Open1251.60034arXiv0907.1618OpenAlexW1906814678MaRDI QIDQ2904875FDOQ2904875

Adam Jakubowski

Publication date: 24 August 2012

Published in: Seminar on Stochastic Analysis, Random Fields and Applications VI (Search for Journal in Brave)

Abstract: We provide a device, called the local predictor, which extends the idea of the predictable compensator. It is shown that a fBm with the Hurst index greater than 1/2 coincides with its local predictor while fBm with the Hurst index smaller than 1/2 does not admit any local predictor. The local predictor of a martingale (in particular: Brownian motion) trivially exists and equals 0.

Full work available at URL: https://arxiv.org/abs/0907.1618

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zbMATH Keywords

fractional Brownian motionweak Dirichlet processespredictable compensatorfinite energy processeslocal predictor

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Prediction theory (aspects of stochastic processes) (60G25) Generalizations of martingales (60G48)

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Cited In (3)

• On the prediction of fractional Brownian motion
• When does fractional Brownian motion not behave as a continuous function with bounded variation?
• Prediction of fractional Brownian motion with Hurst index less than 1/2

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