On the prediction of fractional Brownian motion
From MaRDI portal
Publication:4891671
DOI10.2307/3215063zbMath0861.60049OpenAlexW2069786653MaRDI QIDQ4891671
Ilkka Norros, Gustaf Gripenberg
Publication date: 27 October 1996
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/3215063
Inference from stochastic processes and prediction (62M20) Gaussian processes (60G15) Self-similar stochastic processes (60G18) Prediction theory (aspects of stochastic processes) (60G25)
Related Items
Prediction of fractional Brownian motion with Hurst index less than 1/2, Fractional term structure models: No-arbitrage and consistency, Prediction of Fractional Brownian Motion-Type Processes, Scaling limits for random fields with long-range dependence, Out of sample forecasts of quadratic variation, Fractional stochastic Volterra equation perturbed by fractional Brownian motion, OPTIONS WITH UNDERLYING ASSET DRIVEN BY A FRACTIONAL BROWNIAN MOTION: CROSSING BARRIERS ESTIMATES, Fractional Lévy processes with an application to long memory moving average processes, Conditional Distributions of Mandelbrot–van ness Fractional LÉVY Processes and Continuous‐Time ARMA–GARCH‐Type Models with Long Memory, Solutions to BSDEs driven by both standard and fractional Brownian motions, DISTRIBUTIONS OF QUADRATIC FUNCTIONALS OF THE FRACTIONAL BROWNIAN MOTION BASED ON A MARTINGALE APPROXIMATION, Energy of the stochastic wave equation driven by a fractional Gaussian noise, Stochastic mortality dynamics driven by mixed fractional Brownian motion, Distributions of the maximum likelihood and minimum contrast estimators associated with the fractional Ornstein-Uhlenbeck process, On continuous-time autoregressive fractionally integrated moving average processes, The convergence of a numerical scheme for additive fractional stochastic delay equations with \(H>\frac 12\), On the fractional stochastic integration for random non-smooth integrands, Development of a fractional Wiener-Hermite expansion for analyzing the fractional stochastic models, Prediction law of fractional Brownian motion, Fractional processes and their statistical inference: an overview, Fractional Lévy-driven Ornstein-Uhlenbeck processes and stochastic differential equations, Stochastic elastic equation driven by multiplicative multi-parameter fractional noise, General approach to filtering with fractional brownian noises — application to linear systems, On the Modeling of CO2 EUA and CER Prices of EU‐ETS for the 2008–2012 Period, Abstract functional stochastic evolution equations driven by fractional Brownian motion, Maximum likelihood estimation for the non-ergodic fractional Ornstein-Uhlenbeck process, Maximum likelihood estimation of stochastic differential equations with random effects driven by fractional Brownian motion, Dynamical pricing of weather derivatives, Multiparameter Fractional Brownian Motion And Quasi-Linear Stochastic Partial Differential Equations, Multivariate fractionally integrated CARMA processes, Estimating the Hurst effect and its application in monitoring clinical trials, On a class of measure-dependent stochastic evolution equations driven by fbm, Conditional Distributions of Processes Related to Fractional Brownian Motion, THE STOCHASTIC WAVE EQUATION DRIVEN BY FRACTIONAL BROWNIAN NOISE AND TEMPORALLY CORRELATED SMOOTH NOISE, On arbitrage and Markovian short rates in fractional bond markets, Weak solutions for stochastic differential equations with additive fractional noise, Prediction for some processes related to a fractional Brownian motion, About the linear-quadratic regulator problem under a fractional Brownian perturbation, FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE, Krein's spectral theory and the Paley-Wiener expansion for fractional Brownian motion, Stochastic modeling in nanoscale biophysics: subdiffusion within proteins, Financial Markets with Memory II: Innovation Processes and Expected Utility Maximization, Multivariate stochastic delay differential equations and CAR representations of CARMA processes, Separation principle in the fractional Gaussian linear-quadratic regulator problem with partial observation, Explicit solutions of a class of linear fractional BSDEs, Prediction and tracking of long-range-dependent sequences, Effective signal extraction via local polynomial approximation under long-range dependency conditions, Wiener Chaos Approach to Optimal Prediction, Fractional Brownian motion and sheet as white noise functionals, Kink estimation with correlated noise, Q-Fractional Brownian Motion in Infinite Dimensions with Application to Fractional Black–Scholes Market, On the Wiener integral with respect to a sub-fractional Brownian motion on an interval, On the infinite time horizon linear-quadratic regulator problem under a fractional Brownian perturbation, EXISTENCE CRITERIA FOR SOLUTIONS OF LINEAR STOCHASTIC DIFFERENTIAL EQUATIONS WITH SKEW-SYMMETRIC DIFFERENTIAL OPERATOR AND ADDITIVE FRACTIONAL BROWNIAN NOISE, Stochastic differential equations with a fractionally filtered delay: a semimartingale model for long-range dependent processes, Verification of internal risk measure estimates, A numerical solution using an adaptively preconditioned Lanczos method for a class of linear systems related with the fractional Poisson equation, Representation Formulae for the Fractional Brownian Motion, Filtering and parameter estimation in a simple linear system driven by a fractional Brownian motion, OPTIMAL CONSUMPTION AND PORTFOLIO IN A BLACK–SCHOLES MARKET DRIVEN BY FRACTIONAL BROWNIAN MOTION, A FRACTIONAL POISSON EQUATION: EXISTENCE, REGULARITY AND APPROXIMATIONS OF THE SOLUTION, Conditional limit theorems for regulated fractional Brownian motion, Nonexplosion Criteria for Solutions of SDE with Fractional Brownian Motion, A note on filtering for long memory processes, Almost periodic solutions in distribution to affine stochastic differential equations driven by a fractional Brownian motion
