Prediction of fractional Brownian motion with Hurst index less than 1/2-Reference-Cited by-同舟云学术

Prediction of fractional Brownian motion with Hurst index less than 1/2

Published:2004-10 Issue:2 Volume:70 Page:321-328
ISSN:0004-9727
Container-title:Bulletin of the Australian Mathematical Society
language:en
Short-container-title:Bull. Austral. Math. Soc.

Author:

Anh V. V.,Inoue A.

Abstract

We give a proof based on an integral equation for an explicit prediction formula for fractional Brownian motion with Hurst index less than 1/2.

Publisher

Cambridge University Press (CUP)

Subject

General Mathematics

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