On Gaussian processes equivalent in law to fractional Brownian motion

DOI10.1023/B:JOTP.0000020696.99064.5dzbMath1049.60030OpenAlexW1970549031MaRDI QIDQ1827446

Tommi Sottinen

Publication date: 6 August 2004

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/b:jotp.0000020696.99064.5d

zbMATH Keywords

fractional Brownian motionstochastic differential equationsGirsanov theoremHitsuda representationcanonical representation of Gaussian processesequivalence of Gaussian processes

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic integral equations (60H20)

Related Items (8)

On the equivalence of multiparameter Gaussian processes ⋮ When is a linear combination of independent fBm's equivalent to a single fBm? ⋮ Long-range dependent completely correlated mixed fractional Brownian motion ⋮ Stochastic analysis of Gaussian processes via Fredholm representation ⋮ Generalized Gaussian bridges ⋮ Transfer principle for $n$th order fractional Brownian motion with applications to prediction and equivalence in law ⋮ Representations of fractional Brownian motion using vibrating strings ⋮ Representation of self-similar Gaussian processes

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