On the prediction of fractional brownian motion

Gustaf Gripenberg, Ilkka Norros

Research output: Contribution to journalArticle

126 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

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