On the Gaussian Volterra processes with power-type kernels

DOI10.1080/15326349.2023.2212763MaRDI QIDQ6151864zbMATH OpenFDO

Authors

Publication date 12 February 2024

Published in Stochastic Models (Search for Journal in Brave)

zbMATH Keywords

long-range dependencesemimartingale propertynon Markovian process

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stationary stochastic processes (60G10) Sample path properties (60G17) Self-similar stochastic processes (60G18)

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Cites work

• scientific article; zbMATH DE number 847242 (Why is no real title available?)
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• Derivatives of sup-functionals of fractional Brownian motion evaluated at \(H=\frac{1}{2}\)
• Fractional Brownian Motions, Fractional Noises and Applications
• Gaussian Volterra processes with power-type kernels. I
• Gaussian Volterra processes with power-type kernels. II
• Mixtures of higher-order fractional Brownian motions
• NIST handbook of mathematical functions
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• Path properties of a generalized fractional Brownian motion
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• Stochastic processes and long range dependence
• The absence of arbitrage in a model with fractal Brownian motion
• The stochastic Fubini theorem revisited

Cited in

(1)

• Combinatorial approach to the calculation of projection coefficients for the simplest Gaussian-Volterra process

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