On the prediction of fractional Brownian motion

被引：127

作者：

Gripenberg, G ^{[1
]}

Norros, I ^{[1
]}

机构：

[1] VTT INFORMAT TECHNOL TELECOMMUN,VTT 02044,FINLAND

来源：

JOURNAL OF APPLIED PROBABILITY | 1996年 / 33卷 / 02期

关键词：

fractional Brownian motion; prediction; stochastic integration;

D O I：

10.2307/3215063

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：

Integration with respect to the fractional Brownian motion Z with Hurst parameter H is an element of (1/2, 1) is discussed. The predictor E [Z(u)\Z(s), s is an element of (-T, 0)] is represented as an integral with respect to Z, solving a weakly singular integral equation for the prediction weight function.

引用

页码：400 / 410

页数：11

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[1]

Abramowitz M., 1970, HDB MATH FUNCTIONS

[2]

Cornfeld I. P., 1982, Ergodic Theory

[3]

Dellacherie C., 1982, Probabilities and Potential B: Theory of Martingales

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