Fractional integral equations and state space transforms

Bernoulli

Volumn 12, Issue 3, 2006, Pages 431-456

  Buchmann, Boris ^a   Klüppelberg, Claudia ^b  

^a AUSTRALIAN NATIONAL UNIVERSITY   (Australia)

^b TECHNICAL UNIVERSITY OF MUNICH   (Germany)

Author keywords

Fractional Brownian motion; Fractional integral; Fractional Ornstein Uhlenbeck process; Fractional Vasicek model; Langevin equation; Long range dependence; Riemann Stieltjes integrals; Solution of stochastic differential equations; State space transform; Stochastic calculus

Indexed keywords

EID: 33846108890     PISSN: 13507265     EISSN: None     Source Type: Journal    
DOI: 10.3150/bj/1151525129     Document Type: Article

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