Transformation formulas for fractional Brownian motion

Céline Jost

Stochastic Processes and their Applications, 2006, vol. 116, issue 10, 1341-1357

Abstract: We derive a Molchan-Golosov-type integral transform which changes fractional Brownian motion of arbitrary Hurst index K into fractional Brownian motion of index H. Integration is carried out over [0,t], t>0. The formula is derived in the time domain. Based on this transform, we construct a prelimit which converges in -sense to an analogous, already known Mandelbrot-Van Ness-type integral transform, where integration is over (-[infinity],t], t>0.

Keywords: Fractional; Brownian; motion; Integral; transform; Fractional; calculus; Stochastic; integration (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (8)

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