Abstract
Integration with respect to the fractional Brownian motion Z with Hurst parameter H ∈ (1/2, 1) is discussed. The predictor E[Za ∣ Zs, s ∈ (-T, 0)] is represented as an integral with respect to Z, solving a weakly singular integral equation for the prediction weight function.
Original language | English |
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Pages (from-to) | 400-410 |
Number of pages | 11 |
Journal | Journal of Applied Probability |
Volume | 33 |
Issue number | 2 |
DOIs | |
Publication status | Published - 1996 |
MoE publication type | A1 Journal article-refereed |