Are fractional Brownian motions predictable?

DOI10.1007/978-3-0348-0021-1_10MaRDI QIDQ2904875zbMATHOpenAlexFDO

Authors Adam Jakubowski

Publication date 24 August 2012

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

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

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)

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.

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Cites work

• scientific article; zbMATH DE number 3858079 (Why is no real title available?)
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• scientific article; zbMATH DE number 3656300 (Why is no real title available?)
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Cited in

(4)

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

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