Representation formulae for the fractional Brownian motion
From MaRDI portal
Publication:3086791
DOI10.1007/978-3-642-15217-7_1zbMATH Open1221.60050arXiv0912.3168OpenAlexW3087286491MaRDI QIDQ3086791FDOQ3086791
Publication date: 30 March 2011
Published in: Séminaire de Probabilités XLIII (Search for Journal in Brave)
Abstract: We discuss the relationships between some classical representations of the fractional Brownian motion, as a stochastic integral with respect to a standard Brownian motion, or as a series of functions with independent Gaussian coefficients. The basic notions of fractional calculus which are needed for the study are introduced. As an application, we also prove some properties of the Cameron-Martin space of the fractional Brownian motion, and compare its law with the law of some of its variants. Several of the results which are given here are not new; our aim is to provide a unified treatment of some previous literature, and to give alternative proofs and additional results; we also try to be as self-contained as possible.
Full work available at URL: https://arxiv.org/abs/0912.3168
Recommendations
- On the connection between Molchan-Golosov and Mandelbrot-van Ness representations of fractional Brownian motion
- On some possible generalizations of fractional Brownian motion.
- On some generalization of fractional Brownian motions
- Whitening filter and innovations representation of self-similar process.
- Fractional Brownian motion: theory and applications
Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Self-similar stochastic processes (60G18)
Cites Work
- Title not available (Why is that?)
- Fractional Brownian Motions, Fractional Noises and Applications
- Alternative forms of fractional Brownian motion
- Title not available (Why is that?)
- An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
- Spherical and hyperbolic fractional Brownian motion
- Stochastic analysis of the fractional Brownian motion
- Fractional {O}rnstein-{U}hlenbeck processes
- Stochastic analysis, rough path analysis and fractional Brownian motions.
- Equivalence of Volterra processes.
- Title not available (Why is that?)
- Are classes of deterministic integrands for fractional Brownian motion on an interval complete?
- On fractional Brownian processes
- On the prediction of fractional Brownian motion
- Mixed fractional Brownian motion
- Title not available (Why is that?)
- When is a linear combination of independent fBm's equivalent to a single fBm?
- Title not available (Why is that?)
- Transformation formulas for fractional Brownian motion
- On equivalence of infinite product measures
- On the convergence of sums of independent Banach space valued random variables
- A series expansion of fractional Brownian motion
- Wavelets, generalized white noise and fractional integration: The synthesis of fractional Brownian motion
- Pushing the Limits of Contemporary Statistics: Contributions in Honor of Jayanta K. Ghosh
- Title not available (Why is that?)
- On the law of the iterated logarithm for Gaussian processes
- On a property of normal distributions of any stochastic process
- A tree approach to \(p\)-variation and to integration
- A note on ergodic transformations of self-similar Volterra Gaussian processes
- Equivalence and perpendicularity of Gaussian processes
- Local independence of fractional Brownian motion
- Sur une classe de courbes de l'espace de Hilbert et sur une équation intégrale non linéaire
- A rate-optimal trigonometric series expansion of the fractional Brownian motion
- On the connection between Molchan-Golosov and Mandelbrot-van Ness representations of fractional Brownian motion
- Linear Problems for a Fractional Brownian Motion: Group Approach
- Time reversal for drifted fractional Brownian motion with Hurst index \(H > 1/2\)
Cited In (31)
- Large Deviation Principle for Volterra Type Fractional Stochastic Volatility Models
- Regularisation by fractional noise for one-dimensional differential equations with distributional drift
- Minimal model of diffusion with time changing Hurst exponent
- Fractional Wishart processes and \(\varepsilon\)-fractional Wishart processes with applications
- Kriging for Hilbert-space valued random fields: the operatorial point of view
- Perturbations of singular fractional SDEs
- Representations of fractional Brownian motion using vibrating strings
- A Family of Series Representations of the Multiparameter Fractional Brownian Motion
- Clustering of large deviations in moving average processes: the long memory regime
- Simulation of a fractional Brownian motion in the space $L_p([0,T])$
- Slow-fast systems with fractional environment and dynamics
- Distribution dependent SDEs driven by additive fractional Brownian motion
- Bayesian inverse problems with heterogeneous variance
- Gaussian stochastic volatility models: scaling regimes, large deviations, and moment explosions
- An optimal regularity result on the quasi-invariant Gaussian measures for the cubic fourth order nonlinear Schrödinger equation
- Time-inhomogeneous Gaussian stochastic volatility models: large deviations and super roughness
- Change-of-variable formula for the bi-dimensional fractional Brownian motion in Brownian time
- Semimartingale representation of fractional Riesz-Bessel motion
- Asymptotic equivalence for regression under fractional noise
- Wiener Spiral for Volatility Modeling
- On the representation of fractional Brownian motion as an integral with respect to \((dt)^a\)
- Representation of self-similar Gaussian processes
- Some sample path properties of multifractional Brownian motion
- Title not available (Why is that?)
- A stochastic reconstruction theorem
- Asset prices with investor protection and past information
- Prevalence of \(\rho\)-irregularity and related properties
- Differentiation formula in Stratonovich version for fractional Brownian sheet
- Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model
- Representation of a fractional Brownian motion in terms of an infinite-dimensional Ornstein-Uhlenbeck process
- Noiseless regularisation by noise
This page was built for publication: Representation formulae for the fractional Brownian motion
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3086791)
