Whitening filter and innovational representation of fractional Brownian motion
DOI10.1016/J.CHAOS.2007.07.092zbMATH Open1197.60042OpenAlexW2016478501MaRDI QIDQ712152FDOQ712152
Publication date: 28 October 2010
Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.chaos.2007.07.092
Gaussian processes (60G15) Measures of association (correlation, canonical correlation, etc.) (62H20) Fractional processes, including fractional Brownian motion (60G22) Fractional ordinary differential equations (34A08) Financial applications of other theories (91G80) Self-similar stochastic processes (60G18)
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Cited In (1)
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