A frequency domain approach to some results on fractional Brownian motion

K. Dzhaparidze and J. A. Ferreira

Statistics & Probability Letters, 2002, vol. 60, issue 2, 155-168

Abstract: Let X be a fractional Brownian motion. It is known that Mt=[integral operator]mt dX, t[greater-or-equal, slanted]0, where mt is a certain kernel, defines a martingale M, and also that X can be represented by Xt=[integral operator]xt dM, t[greater-or-equal, slanted]0, for some kernel xt. We derive these results by using the spectral representation of the covariance function of X. A formula for the covariance between X and M is also given.

Keywords: Fractional; Brownian; motion; Integral; transforms; Spectral; representation (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (1)

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