A frequency domain approach to some results on fractional Brownian motion

DOI10.1016/S0167-7152(02)00307-3zbMath1014.60040OpenAlexW2144980505MaRDI QIDQ1871323

Yanyan Li

Publication date: 7 May 2003

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(02)00307-3

zbMATH Keywords

integral transformsfractional Brownian motionspectral representation

Mathematics Subject Classification ID

Gaussian processes (60G15) Self-similar stochastic processes (60G18)

Related Items (3)

On fractional Brownian motion and wavelets ⋮ Krein's spectral theory and the Paley-Wiener expansion for fractional Brownian motion ⋮ Representations of fractional Brownian motion using vibrating strings

Cites Work

• Correlation theory of stationary and related random functions. Volume II: Supplementary notes and references
• Stochastic analysis of the fractional Brownian motion
• On fractional Brownian processes
• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• Integration questions related to fractional Brownian motion
• Are classes of deterministic integrands for fractional Brownian motion on an interval complete?
• Signal detection in fractional Gaussian noise
• Linear estimation of self-similar processes via Lamperti's transformation
• Fractional Brownian Motions, Fractional Noises and Applications
• Some Infinite Integrals Involving Bessel Functions
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