Fractional Lévy Processes as a Result of Compact Interval Integral Transformation

DOI10.1080/07362994.2011.610172zbMath1239.60029arXiv1002.0780OpenAlexW2006609687MaRDI QIDQ3114572

Heikki Tikanmäki, Yuliya S. Mishura

Publication date: 19 February 2012

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1002.0780

zbMATH Keywords

long range dependencefractional Lévy processarbitrage free modelWiener integrationintegral representation of fractional Brownian motionMandelbrot-Van-Ness transformationMolchan-Golosov transformation

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Fractional processes, including fractional Brownian motion (60G22)

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