Whitening filter and innovational representation of fractional Brownian motion

DOI10.1016/j.chaos.2007.07.092zbMath1197.60042MaRDI QIDQ712152

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

60G15: Gaussian processes

62H20: Measures of association (correlation, canonical correlation, etc.)

60G22: Fractional processes, including fractional Brownian motion

91G80: Financial applications of other theories

60G18: Self-similar stochastic processes

34A08: Fractional ordinary differential equations