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
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