On Gaussian processes equivalent in law to fractional Brownian motion

被引:8
|
作者
Sottinen, T
机构
[1] Univ Helsinki, Dept Math, FIN-00014 Helsinki, Finland
[2] Univ Aarhus, DK-8000 Aarhus C, Denmark
关键词
Fractional Brownian motion; equivalence of Gaussian processes; Hitsuda representation; canonical representation of Gaussian processes; Girsanov theorem; stochastic differential equations;
D O I
10.1023/B:JOTP.0000020696.99064.5d
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
We consider Gaussian processes that are equivalent in law to the fractional Brownian motion and their canonical representations. We prove a Hitsuda type representation theorem for the fractional Brownian motion with Hurst index H less than or equal to 1/2. For the case H > 1/2 we show that such a representation cannot hold. We also consider briefly the connection between Hitsuda and Girsanov representations. Using the Hitsuda representation we consider a certain special kind of Gaussian stochastic equation with fractional Brownian motion as noise.
引用
收藏
页码:309 / 325
页数:17
相关论文
共 50 条
  • [1] On Gaussian Processes Equivalent in Law to Fractional Brownian Motion
    T. Sottinen
    Journal of Theoretical Probability, 2004, 17 : 309 - 325
  • [2] On the Integral of the Fractional Brownian Motion and Some Pseudo-Fractional Gaussian Processes
    Abundo, Mario
    Pirozzi, Enrica
    MATHEMATICS, 2019, 7 (10)
  • [3] JACOBI PROCESSES DRIVEN BY FRACTIONAL BROWNIAN MOTION
    Nguyen Tien Dung
    TAIWANESE JOURNAL OF MATHEMATICS, 2014, 18 (03): : 835 - 848
  • [4] Estimates for exponential functionals of continuous Gaussian processes with emphasis on fractional Brownian motion
    Lopez-Mimbela, Jose Alfredo
    Perez-Suarez, Gerardo
    ALEA-LATIN AMERICAN JOURNAL OF PROBABILITY AND MATHEMATICAL STATISTICS, 2024, 21 : 661 - 699
  • [5] Particle picture interpretation of some Gaussian processes related to fractional Brownian motion
    Bojdecki, Tomasz
    Talarczyk, Anna
    STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2012, 122 (05) : 2134 - 2154
  • [6] Prediction law of fractional Brownian motion
    Sottinen, Tommi
    Viitasaari, Lauri
    STATISTICS & PROBABILITY LETTERS, 2017, 129 : 155 - 166
  • [7] Permutation entropy of fractional Brownian motion and fractional Gaussian noise
    Zunino, L.
    Perez, D. G.
    Martin, M. T.
    Garavaglia, M.
    Plastino, A.
    Rosso, O. A.
    PHYSICS LETTERS A, 2008, 372 (27-28) : 4768 - 4774
  • [8] SMOOTHNESS OF THE LAW OF THE SUPREMUM OF THE FRACTIONAL BROWNIAN MOTION
    Zadi, Noureddine Lanjri
    Nualart, David
    ELECTRONIC COMMUNICATIONS IN PROBABILITY, 2003, 8 : 102 - 111
  • [9] nth-order fractional Brownian motion and fractional Gaussian noises
    Perrin, E
    Harba, R
    Berzin-Joseph, C
    Iribarren, I
    Bonami, A
    IEEE TRANSACTIONS ON SIGNAL PROCESSING, 2001, 49 (05) : 1049 - 1059
  • [10] Linear systems with fractional Brownian motion and Gaussian noise
    Grigoriu, Mircea
    PROBABILISTIC ENGINEERING MECHANICS, 2007, 22 (03) : 276 - 284