Linear Problems for a Fractional Brownian Motion: Group Approach

DOI10.1137/S0040585X97979445zbMath1035.60084MaRDI QIDQ4442887

G. M. Molchan

Publication date: 21 January 2004

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

zbMATH Keywords

fractional Brownian motionextrapolationGirsanov's formula

Mathematics Subject Classification ID

Gaussian processes (60G15) Brownian motion (60J65)

Related Items

An extension of the Lévy characterization to fractional Brownian motion ⋮ Krein's spectral theory and the Paley-Wiener expansion for fractional Brownian motion ⋮ On the infinite time horizon linear-quadratic regulator problem under a fractional Brownian perturbation ⋮ Representation Formulae for the Fractional Brownian Motion ⋮ Distance between the fractional Brownian motion and the space of adapted Gaussian martingales ⋮ Representations of fractional Brownian motion using vibrating strings