Prediction of fractional Brownian motion with Hurst index less than 1/2

DOI10.1017/S0004972700034535zbMath1072.60035OpenAlexW2132227168MaRDI QIDQ3158805

V. V. Anh, Akihiko Inoue

Publication date: 31 January 2005

Published in: Bulletin of the Australian Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0004972700034535

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Self-similar stochastic processes (60G18) Prediction theory (aspects of stochastic processes) (60G25)

Related Items (6)

Prediction of Fractional Brownian Motion-Type Processes ⋮ Are Fractional Brownian Motions Predictable? ⋮ Prediction law of fractional Brownian motion ⋮ Entropy and alternative entropy functionals of fractional Gaussian noise as the functions of Hurst index ⋮ Baxter's inequality for fractional Brownian motion-type processes with Hurst index less than 1/2 ⋮ Q-Fractional Brownian Motion in Infinite Dimensions with Application to Fractional Black–Scholes Market

Cites Work

• Unnamed Item
• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• On the prediction of fractional Brownian motion
• Fractional Brownian Motions, Fractional Noises and Applications

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