On the Lamperti transform of the fractional Brownian sheet
DOI10.1515/FCA-2016-0076zbMATH Open1355.60051OpenAlexW2565223639MaRDI QIDQ501525FDOQ501525
Authors: Marwa Khalil, Ciprian A. Tudor, Mounir Zili 
Publication date: 9 January 2017
Published in: Fractional Calculus \ Applied Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/fca-2016-0076
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stochastic differential equationfractional Brownian motionfractional Brownian sheetLamperti transformYoung integralfractional Ornstein-Uhlenbeck process
Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stationary stochastic processes (60G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Self-similar stochastic processes (60G18)
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Cited In (5)
- Scale invariances and Lamperti transformations for stochastic processes
- Linear estimation of self-similar processes via Lamperti's transformation
- The Lamperti transforms of self-similar Gaussian processes and their exponentials
- On Lamperti transformation and AR(1) type characterisations of discrete random fields
- A result on the Laplace transform associated with the sticky Brownian motion on an interval
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