On Gaussian Processes Equivalent in Law to Fractional Brownian Motion

T. Sottinen ()
Additional contact information
T. Sottinen: University of Helsinki

Journal of Theoretical Probability, 2004, vol. 17, issue 2, 309-325

Abstract: Abstract We consider Gaussian processes that are equivalent in law to the fractional Brownian motion and their canonical representations. We prove a Hitsuda type representation theorem for the fractional Brownian motion with Hurst index H≤1/2. For the case H>1/2 we show that such a representation cannot hold. We also consider briefly the connection between Hitsuda and Girsanov representations. Using the Hitsuda representation we consider a certain special kind of Gaussian stochastic equation with fractional Brownian motion as noise.

Keywords: Fractional Brownian motion; equivalence of Gaussian processes; Hitsuda representation; canonical representation of Gaussian processes; Girsanov theorem; stochastic differential equations (search for similar items in EconPapers)
Date: 2004
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://link.springer.com/10.1023/B:JOTP.0000020696.99064.5d Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:jotpro:v:17:y:2004:i:2:d:10.1023_b:jotp.0000020696.99064.5d

Ordering information: This journal article can be ordered from
https://www.springer.com/journal/10959

DOI: 10.1023/B:JOTP.0000020696.99064.5d

Access Statistics for this article

Journal of Theoretical Probability is currently edited by Andrea Monica

More articles in Journal of Theoretical Probability from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().