HURST EXPONENTS AND DELAMPERTIZED FRACTIONAL BROWNIAN MOTIONS
نویسندگان
چکیده
منابع مشابه
Exponents, 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...
متن کاملAre 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 کاملHURST EXPONENTS FOR NON-PRECISE DATA
We provide a framework for the study of statistical quantitiesrelated to the Hurst phenomenon when the data are non-precise with boundedsupport.
متن کاملA Note on the Clark-Ocone Theorem for Fractional Brownian Motions with Hurst Parameter bigger than a Half
Integration with respect to a fractional Brownian motion with Hurst parameter 1/2 < H < 1 is related to the inner product: (f, g)H = H(2H − 1) ∫
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: International Journal of Theoretical and Applied Finance
سال: 2019
ISSN: 0219-0249,1793-6322
DOI: 10.1142/s0219024919500249