Whitening filter and innovational representation of fractional Brownian motion

DOI10.1016/J.CHAOS.2007.07.092MaRDI QIDQ712152zbMATH OpenOpenAlexFDO

Authors D. Kharzeev

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

Mathematics Subject Classification ID

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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Cites work

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Cited in

(1)

• Whitening filter and innovations representation of self-similar process.

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