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Teoriya Veroyatnostei i ee Primeneniya, 2002, Volume 47, Issue 1, Pages 59–70
DOI: https://doi.org/10.4213/tvp2985 (Mi tvp2985) 		 
This article is cited in 8 scientific papers (total in 8 papers)

Linear problems for a fractional Brownian motion: Group approach

G. M. Molchan

Observatoire de la Côte d'Azur
Full-text PDF (1183 kB) Citations (8)
DOI: https://doi.org/10.4213/tvp2985
Abstract: For the fractional Brownian motion (fBm) the problem of extrapolation from a segment, the canonical representation of fBm via white noise on a segment and their reciprocal relation, and Girsanov's formula are considered. A general approach to these problems is based on the invariance of fBm with respect to linear rational transformations of time. This approach practically excludes the solution of integral equations and explains the efficiency of the aforementioned problems for fBm.
Keywords: fractional Brownian motion, extrapolation, Girsanov's formula.
Received: 08.09.2000
English version:
Theory of Probability and its Applications, 2003, Volume 47, Issue 1, Pages 69–78
DOI: https://doi.org/S0040585X97979445
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: G. M. Molchan, “Linear problems for a fractional Brownian motion: Group approach”, Teor. Veroyatnost. i Primenen., 47:1 (2002), 59–70; Theory Probab. Appl., 47:1 (2003), 69–78
Citation in format AMSBIB
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\paper Linear problems for a fractional Brownian motion: Group approach
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\pages 59--70
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\transl
\jour Theory Probab. Appl.
\yr 2003
\vol 47
\issue 1
\pages 69--78
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  • https://doi.org/10.4213/tvp2985
  • https://www.mathnet.ru/eng/tvp/v47/i1/p59
    • This publication is cited in the following 8 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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    		Теория вероятностей и ее применения Theory of Probability and its Applications
     
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