ON THE PREDICTION OF FRACTIONAL BROWNIAN-MOTION

Authors
GRIPENBERG G NORROS I
Citation
G. Gripenberg et I. Norros, ON THE PREDICTION OF FRACTIONAL BROWNIAN-MOTION, Journal of Applied Probability, 33(2), 1996, pp. 400-410
Citations number
10
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Journal of Applied Probability → ACNP
ISSN journal
00219002
Volume
33
Issue
2
Year of publication
1996
Pages
400 - 410
Database
ISI
SICI code
0021-9002(1996)33:2<400:OTPOFB>2.0.ZU;2-Z
Abstract
Integration with respect to the fractional Brownian motion Z with Hurs t 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.