Prediction for some processes related to a fractional Brownian motion

T.E. Duncan

Statistics & Probability Letters, 2006, vol. 76, issue 2, 128-134

Abstract: In this paper, explicit expressions are given for some conditional expectations for the prediction of some stochastic processes that are obtained from a fractional Brownian motion with the Hurst parameter in the interval (0,1). These processes are constructed as solutions of stochastic differential equations with a fractional Brownian motion or as solutions of multiple stochastic integrals.

Keywords: Fractional; Brownian; motion; Prediction; Conditional; expectation (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (2)

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