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 |
|---|---|
| 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 |