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

Bulletin of the Australian Mathematical Society

Volumn 70, Issue 2, 2004, Pages 321-328

  Anh, V V ^a   Inoue, A ^b  

^a QUEENSLAND UNIVERSITY OF TECHNOLOGY   (Australia)

^b HOKKAIDO UNIVERSITY   (Japan)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 8744273993     PISSN: 00049727     EISSN: None     Source Type: Journal    
DOI: 10.1017/s0004972700034535     Document Type: Article

References (11)

1. V.V. Anh and A. Inoue, 'Prediction of fractional Brownian motion-type processes: the case 0 < H < 1/2', (submitted).
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3. G. Gripenberg and I. Norros, 'On the prediction of fractional Brownian motion', J. Appl. Probab. 33 (1996), 400-410.
4. A.N. Kolmogorov, 'Wienersche Spiralen und einige andere interessante Kurven im Hilbertschen raum', Compres Rendus (Doklady) de l'Académie des Sciences de l'USSR (N.S.) 26 (1940), 115-118.
5. T. Lundgren and D. Chiang, 'Solution of a class of singular integral equations', Quart. Appl. Math. 24 (1967), 303-313.
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7. I. Norros, E. Valkeila, and J. Virtamo, 'An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions', Bernoulli 5 (1999), 571-587.
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9. G. Samorodnitsky and M.S. Taqqu, Stable non-Gaussian random processes: stochastic models with infinite variance (Chapman and Hall, New York, 1994).
10. A.M. Yaglom, 'Correlation theory of processes with random stationary nth increments', (Russian), Mat. Sb. N.S. 37 (1955), 141-196. English translation: Amer. Math. Soc. Trans. Ser. (2) 8 (1958), 87-141.
11. A.M. Yaglom, 'Correlation theory of processes with random stationary nth increments', (Russian), Mat. Sb. N.S. 37 (1955), 141-196. English translation: Amer. Math. Soc. Trans. Ser. (2) 8 (1958), 87-141.