Prediction law of fractional Brownian motion

Tommi Sottinen and Lauri Viitasaari

Statistics & Probability Letters, 2017, vol. 129, issue C, 155-166

Abstract: We calculate the regular conditional future law of the fractional Brownian motion with index H∈(0,1) conditioned on its past. We show that the conditional law is continuous with respect to the conditioning path. We investigate the path properties of the conditional process and the asymptotic behavior of the conditional covariance.

Keywords: Fractional Brownian motion; Prediction; Regular conditional law (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (5)

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DOI: 10.1016/j.spl.2017.05.006

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