Transfer principle for nth order fractional Brownian motion with applications to prediction and equivalence in law

DOI10.1090/TPMS/1071MaRDI QIDQ5230218zbMATH OpenOpenAlexWikidataFDO

Authors Tommi Sottinen, Lauri Viitasaari

Publication date 21 August 2019

Published in Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1801.07574

zbMATH Keywords

predictionfractional Brownian motionstochastic analysistransfer principleequivalence in law

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Prediction theory (aspects of stochastic processes) (60G25) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic analysis (60H99)

Abstract: The $n$th order fractional Brownian motion was introduced by Perrin et al. It is the (upto a multiplicative constant) unique self-similar Gaussian process with Hurst index $Hin(n-1,n)$, having $n$th order stationary increments. We provide a transfer principle for the $n$th order fractional Brownian motion, i.e., we construct a Brownian motion from the $n$the order fractional Brownian motion and then represent the $n$the order fractional Brownian motion by using the Brownian motion in a non-anticipative way so that the filtrations of the $n$the order fractional Brownian motion and the associated Brownian motion coincide. By using this transfer principle, we provide the prediction formula for the $n$the order fractional Brownian motion and also a representation formula for all the Gaussian processes that are equivalent in law to the $n$th order fractional Brownian motion.

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Cited in

(6)

• Fractional Lévy stable motion: finite difference iterative forecasting model
• Mixtures of higher-order fractional Brownian motions
• Inverse stochastic transfer principle
• Statistical inference for models driven by 𝑛-th order fractional Brownian motion
• Stochastic analysis of Gaussian processes via Fredholm representation
• A Gladyshev theorem for trifractional Brownian motion and \(n\)-th order fractional Brownian motion

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