Are Fractional Brownian Motions Predictable?

DOI10.1007/978-3-0348-0021-1_10zbMath1251.60034arXiv0907.1618OpenAlexW1906814678MaRDI QIDQ2904875

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) Generalizations of martingales (60G48) Prediction theory (aspects of stochastic processes) (60G25)

Cites Work

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• Weak Dirichlet processes with a stochastic control perspective
• Stochastic calculus for fractional Brownian motion and related processes.
• \(n\)-covariation, generalized Dirichlet processes and calculus with respect to finite cubic variation processes.
• Prediction of fractional Brownian motion with Hurst index less than 1/2
• Quadratic variation and energy
• Covariation de convolution de martingales
• Linear estimation of self-similar processes via Lamperti's transformation
• Stochastic Calculus for Fractional Brownian Motion and Applications
• A generalization of a problem of Steinhaus

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