منابع مشابه
Are fractional Brownian motions predictable?
We provide a device, called the local predictor, which extends the idea of the predictable compensator. It is shown that a fBm with the Hurst index greater than 1/2 coincides with its local predictor while fBm with the Hurst index smaller than 1/2 does not admit any local predictor. Mathematics Subject Classification (2000). Primary 60G07; Secondary 60G15, 60G48, 60G25.
متن کامل9 Are fractional Brownian motions predictable ?
We provide a device, called the local predictor, which extends the idea of the predictable compensator. It is shown that a fBm with the Hurst index greater than 1/2 coincides with its local predictor while fBm with the Hurst index smaller than 1/2 does not admit any local predictor. 1 Intoduction The question in the title is provocative, of course. Everybody familiar with the theory of stochast...
متن کاملIntersection Local Time for two Independent Fractional Brownian Motions
Let B and e B be two independent, d-dimensional fractional Brownian motions with Hurst parameter H ∈ (0, 1) . Assume d ≥ 2. We prove that the intersection local time of B and e B I(BH , e BH) = Z
متن کاملExponents, symmetry groups and classification of operator fractional Brownian motions
Operator fractional Brownian motions (OFBMs) are zero mean, operator self-similar (o.s.s.), Gaussian processes with stationary increments. They generalize univariate fractional Brownian motions to the multivariate context. It is well-known that the so-called symmetry group of an o.s.s. process is conjugate to subgroups of the orthogonal group. Moreover, by a celebrated result of Hudson and Maso...
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Aim of this paper is to study the parabolic Volterra equation u(t) + (b ∗Au)(t) = (QB)(t), t ≥ 0, on a separable Hilbert space. Throughout this work the operator −A is assumed to be a differential operator like the Laplacian, the elasticity operator, or the Stokes operator. The random disturbance Q1/2BH is modeled to be a system independent vector valued fractional Brownian motion with Hurst pa...
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ژورنال
عنوان ژورنال: Acta Physica Polonica B
سال: 2020
ISSN: 0587-4254,1509-5770
DOI: 10.5506/aphyspolb.51.1097