Transformation formulas for fractional Brownian motion
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Publication:855681
DOI10.1016/j.spa.2006.02.006zbMath1102.60032MaRDI QIDQ855681
Publication date: 7 December 2006
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2006.02.006
60G15: Gaussian processes
26A33: Fractional derivatives and integrals
60H05: Stochastic integrals
60G18: Self-similar stochastic processes
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Cites Work
- Stochastic analysis of the fractional Brownian motion
- An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
- Integration questions related to fractional Brownian motion
- Are classes of deterministic integrands for fractional Brownian motion on an interval complete?
- On the connection between Molchan-Golosov and Mandelbrot-van Ness representations of fractional Brownian motion
- Deconvolution of fractional brownian motion
- Fractional Brownian Motions, Fractional Noises and Applications
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