Equivalence of Volterra processes

Fabrice Baudoin and David Nualart

Stochastic Processes and their Applications, 2003, vol. 107, issue 2, 327-350

Abstract: In this paper we study necessary and sufficient conditions for the equivalence of Volterra Gaussian processes. Though this topic has already been studied in the literature, we provide new proofs, precisions and new theorems. We also give some examples of equivalent Volterra processes all related to the extensively studied fractional Brownian motion. Finally, we give an extension to general Gaussian processes of a recent regularization theorem by P. Cheridito.

Keywords: Volterra; processes; Equivalence; Fractional; Brownian; motion; Stochastic; integrals (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (12)

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