Semimartingale representation of fractional Riesz-Bessel motion

V.V. Anh () and C.N. Nguyen ()
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V.V. Anh: School of Mathematical Sciences, Queensland University of Technology, GPO Box 2434, Brisbane, Q. 4001, Australia Manuscript
C.N. Nguyen: School of Mathematical Sciences, Queensland University of Technology, GPO Box 2434, Brisbane, Q. 4001, Australia Manuscript

Finance and Stochastics, 2001, vol. 5, issue 1, 83-101

Abstract: Fractional Brownian motion (fBm) is fundamental in studying the phenomenon of long-range dependence in a wide range of fields. However, since fBm is not a semimartingale, some restrictions have been imposed on an fBm stochastic calculus. This paper studies fractional Riesz-Bessel motion (fRBm), which possesses many desirable properties of fBm and is a semimartingale for a range of its parameters. The prediction formula for fRBm is obtained, from which its semimartigale representation is established.

Keywords: Fractional Brownian motion; stochastic integrals; long-range dependence (search for similar items in EconPapers)
Date: 2001-01-10
Note: received: June 1999; final version received: January 2000
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