SCOPUS 정보 검색 플랫폼

Volumn 5, Issue 4, 1999, Pages 571-587

An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions

Author keywords

Fractional Brownian motion; Gaussian processes; Maximum likelihood estimator; Prediction; Stochastic integration

Indexed keywords

EID: 0001714525 PISSN: 13507265 EISSN: None Source Type: Journal
DOI: 10.2307/3318691 Document Type: Article

Times cited : (320)

References (12)

1
- 0042637937
- Stochastic analysis of the fractional Brownian motion
- Decreusefond, L. and Üstünel, A. (1999) Stochastic analysis of the fractional Brownian motion. Potential Anal, 10, 177-214.
- (1999) Potential Anal , vol.10 , pp. 177-214
- Decreusefond, L.¹ Üstünel, A.²

2
- 0003888249
- Preprint, Université D'Évry
- Feyel D. and de La Pradelle, A. (1996) Fractional integrals and Brownian processes. Preprint, Université D'Évry.
- (1996) Fractional Integrals and Brownian Processes
- Feyel, D.¹ De La Pradelle, A.²

3
- 0030502739
- On the prediction of fractional Brownian motion
- Gripenberg, G. and Norros, I. (1996) On the prediction of fractional Brownian motion. J. Appl Probab., 33, 400-410.
- (1996) J. Appl Probab. , vol.33 , pp. 400-410
- Gripenberg, G.¹ Norros, I.²

4
- 0038135003
- Stochastic and multiple Wiener integrals for Gaussian processes
- Huang, S. and Cambanis, S. (1978) Stochastic and multiple Wiener integrals for Gaussian processes. Ann. Probab., 6, 585-614.
- (1978) Ann. Probab. , vol.6 , pp. 585-614
- Huang, S.¹ Cambanis, S.²

5
- 0003757289
- Berlin: Springer-Verlag
- Jacod, J. and Shiryaev, A. (1987) Limit Theorems for Stochastic Processes. Berlin: Springer-Verlag.
- (1987) Limit Theorems for Stochastic Processes
- Jacod, J.¹ Shiryaev, A.²

6
- 0001187166
- Wienersche Spiralen und einige andere interessante Kurven im Hilbertschen Raum
- Kolmogorov, A. (1940) Wienersche Spiralen und einige andere interessante Kurven im Hilbertschen Raum. C.R. (Dokl.) Acad. Sei. USSR (N.S.), 26, 115-118.
- (1940) C.R. (Dokl.) Acad. Sei. USSR (N.S.) , vol.26 , pp. 115-118
- Kolmogorov, A.¹

7
- 0004249844
- Moscow: Nauka. (In Russian)
- Liptser, R. and Shiryaev, A. (1986) Theory of Martingales. Moscow: Nauka. (In Russian.)
- (1986) Theory of Martingales
- Liptser, R.¹ Shiryaev, A.²

8
- 0000501589
- Fractional Brownian motions, fractional noises and applications
- Mandelbrot, B. and Van Ness, J. (1968) Fractional Brownian motions, fractional noises and applications. SIAM Rev., 10, 422-437.
- (1968) SIAM Rev. , vol.10 , pp. 422-437
- Mandelbrot, B.¹ Van Ness, J.²

9
- 0000100522
- Gaussian processes with spectra which are asymptqtically equivalent to a power of L TJieory
- Molchan, G. (1969) Gaussian processes with spectra which are asymptqtically equivalent to a power of L TJieory Probab. Applic., 14, 530-532.
- (1969) Probab. Applic. , vol.14 , pp. 530-532
- Molchan, G.¹

10
- 0001092940
- Gaussian stationary processes with asymptotic power spectrum
- Molchan, G. and Golosov, J. (1969) Gaussian stationary processes with asymptotic power spectrum. Soviet Math. Dokl., 10, 134-137.
- (1969) Soviet Math. Dokl. , vol.10 , pp. 134-137
- Molchan, G.¹ Golosov, J.²

11
- 0003543379
- Grundlehren der mathematischen Wissenschaften, 293, Berlin: Springer-Verlag
- Revuz, D. and Yor, M. (1991) Continuous Martingales and Brownian Motion. Grundlehren der mathematischen Wissenschaften, 293, Berlin: Springer-Verlag.
- (1991) Continuous Martingales and Brownian Motion
- Revuz, D.¹ Yor, M.²

12
- 84981441524
- On the efficiency of the sample mean in long memory noise
- Samarov, A. and Taqqu, M. (1988) On the efficiency of the sample mean in long memory noise. J. Time Ser. Anal., 9, 191-200.
- (1988) J. Time Ser. Anal. , vol.9 , pp. 191-200
- Samarov, A.¹ Taqqu, M.²

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.