On the prediction of fractional Brownian motion
Keyword(s):
Integration with respect to the fractional Brownian motion Z with Hurst parameter is discussed. The predictor is represented as an integral with respect to Z, solving a weakly singular integral equation for the prediction weight function.
1996 ◽
Vol 33
(02)
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pp. 400-410
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Keyword(s):
2011 ◽
Vol 81
(10)
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pp. 2337-2345
2008 ◽
Vol 21
(7)
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pp. 729-734
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2012 ◽
Vol 2012
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pp. 1-18
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2019 ◽
Vol 347
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pp. 1004-1029
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2009 ◽
Vol 135
(8)
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pp. 828-838
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1997 ◽
Vol 9
(4)
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pp. 341-377
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