On the Lamperti transform of the fractional Brownian sheet

DOI10.1515/FCA-2016-0076MaRDI QIDQ501525zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

stochastic differential equationfractional Brownian motionfractional Brownian sheetLamperti transformYoung integralfractional Ornstein-Uhlenbeck process

Mathematics Subject Classification ID

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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Cites work

• scientific article; zbMATH DE number 438987 (Why is no real title available?)
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• The derivation of the generalized functional equations describing self-similar processes
• The fBm-driven Ornstein-Uhlenbeck process: probability density function and anomalous diffusion

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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