On the prediction of fractional brownian motion

Gustaf Gripenberg, Ilkka Norros

    Research output: Contribution to journalArticleScientificpeer-review

    133 Citations (Scopus)

    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 languageEnglish
    Pages (from-to)400-410
    Number of pages11
    JournalJournal of Applied Probability
    Volume33
    Issue number2
    DOIs
    Publication statusPublished - 1996
    MoE publication typeA1 Journal article-refereed

    Fingerprint Dive into the research topics of 'On the prediction of fractional brownian motion'. Together they form a unique fingerprint.

    Cite this