Conditional Distributions of Processes Related to Fractional Brownian Motion

DOI10.1239/jap/1363784431zbMath1281.60037MaRDI QIDQ4918570

Holger Fink, Claudia Klüppelberg, Martina Zähle

Publication date: 25 April 2013

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.jap/1363784431

zbMATH Keywords

prediction; fractional Brownian motion; long-range dependence; interest rate; conditional characteristic function; short rate; affine process; zero-coupon bond; macroeconomic variables process; fractional affine process; fractional vasicek model

Mathematics Subject Classification ID

60G15: Gaussian processes

91G60: Numerical methods (including Monte Carlo methods)

60G22: Fractional processes, including fractional Brownian motion

60G10: Stationary stochastic processes

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

91G30: Interest rates, asset pricing, etc. (stochastic models)

60H20: Stochastic integral equations

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