Teoriya Veroyatnostei i ee Primeneniya
RUS  ENG    JOURNALS   PEOPLE   ORGANISATIONS   CONFERENCES   SEMINARS   VIDEO LIBRARY   PACKAGE AMSBIB  
General information
Latest issue
Archive
Impact factor
Guidelines for authors
Submit a manuscript

Search papers
Search references

RSS
Latest issue
Current issues
Archive issues
What is RSS


Teor. Veroyatnost. i Primenen.:
Year:
Volume:
Issue:
Page:
Find




Personal entry:
Login:
Password:
Save password
Enter
Forgotten password?
Register

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
\Bibitem{Mol02}
\by G.~M.~Molchan
\paper Linear problems for a fractional Brownian motion: Group approach
\jour Teor. Veroyatnost. i Primenen.
\yr 2002
\vol 47
\issue 1
\pages 59--70
\mathnet{http://mi.mathnet.ru/tvp2985}
\crossref{https://doi.org/10.4213/tvp2985}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=1978695}
\zmath{https://zbmath.org/?q=an:1035.60084}
\transl
\jour Theory Probab. Appl.
\yr 2003
\vol 47
\issue 1
\pages 69--78
\crossref{https://doi.org/S0040585X97979445}
\isi{https://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=Publons&SrcAuth=Publons_CEL&DestLinkType=FullRecord&DestApp=WOS_CPL&KeyUT=000183800400005}
Linking options:
  • https://www.mathnet.ru/eng/tvp2985
  • 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
    Related articles in Google Scholar: Russian articles, English articles
    		Теория вероятностей и ее применения Theory of Probability and its Applications
    Statistics & downloads:
    Abstract page:414
    Full-text PDF :196
     
      Contact us:
    		  Terms of Use  Registration to the website  Logotypes © Steklov Mathematical Institute RAS, 2024