Deconvolution of fractional brownian motion
From MaRDI portal
Publication:5467632
DOI10.1111/1467-9892.00274zbMath1088.60035OpenAlexW3125462091MaRDI QIDQ5467632
Murad S. Taqqu, Vladas Pipiras
Publication date: 24 May 2006
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9892.00274
Gaussian processes (60G15) Brownian motion (60J65) Stochastic integrals (60H05) Self-similar stochastic processes (60G18)
Related Items (10)
Transformation formulas for fractional Brownian motion ⋮ Conditional Distributions of Mandelbrot–van ness Fractional LÉVY Processes and Continuous‐Time ARMA–GARCH‐Type Models with Long Memory ⋮ Affine representations of fractional processes with applications in mathematical finance ⋮ Wiener Spiral for Volatility Modeling ⋮ On the connection between Molchan-Golosov and Mandelbrot-van Ness representations of fractional Brownian motion ⋮ Fractional processes and their statistical inference: an overview ⋮ Stochastic differential equations driven by an additive fractional Brownian sheet ⋮ Large deviations for local times and intersection local times of fractional Brownian motions and Riemann-Liouville processes ⋮ A class of self-similar stochastic processes with stationary increments to model anomalous diffusion in physics ⋮ Anisotropic functional deconvolution with long-memory noise: the case of a multi-parameter fractional Wiener sheet
Cites Work
This page was built for publication: Deconvolution of fractional brownian motion
