Conditional Distributions of Processes Related to Fractional Brownian Motion

DOI10.1239/jap/1363784431zbMath1281.60037OpenAlexW2001584174MaRDI QIDQ4918570

Holger Fink, Claudia Klüppelberg, Martina Zähle

Publication date: 25 April 2013

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

Full work available at URL: https://projecteuclid.org/euclid.jap/1363784431

zbMATH Keywords

predictionfractional Brownian motionlong-range dependenceinterest rateconditional characteristic functionshort rateaffine processzero-coupon bondmacroeconomic variables processfractional affine processfractional vasicek model

Mathematics Subject Classification ID

Gaussian processes (60G15) Numerical methods (including Monte Carlo methods) (91G60) Fractional processes, including fractional Brownian motion (60G22) Stationary stochastic processes (60G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interest rates, asset pricing, etc. (stochastic models) (91G30) Stochastic integral equations (60H20)

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