Prediction for some processes related to a fractional Brownian motion

Statistics and Probability Letters

Volumn 76, Issue 2, 2006, Pages 128-134

  Duncan, T E ^a  

^a UNIVERSITY OF KANSAS   (United States)

Author keywords

Conditional expectation; Fractional Brownian motion; Prediction

Indexed keywords

EID: 30344478842     PISSN: 01677152     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spl.2005.06.014     Document Type: Article

References (6)

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2. T.E. Duncan Y.Z. Hu B. Pasik-Duncan Stochastic calculus for fractional Brownian motion. I: Theory SIAM J. Control Optim. 38 2000 582-612
3. Duncan, T.E., Jakubowski, J., Pasik-Duncan, B. Stochastic integration for fractional Brownian motion in a Hilbert space. Preprint.
4. G. Gripenberg I. Norros On the prediction of fractional Brownian motion J. Appl. Probab. 33 1996 400-410
5. Hu, Y., Zhou, X.Y. Stochastic control for linear systems driven by fractional noises. SIAM J. Control Optim., to appear.
6. V. Pipiras M.S. Taqqu Are classes of deterministic integrals for fractional Brownian motion on an interval complete? Bernoulli 7 2001 878-897