On the Sum of Gaussian Martingale and an Independent Fractional Brownian Motion

DOI10.1137/S0040585X97T991441OpenAlexW4385488048MaRDI QIDQ6112454

Unnamed Author, Mohamed Erraoui, Rachid Belfadli

Publication date: 7 August 2023

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

Full work available at URL: https://doi.org/10.1137/s0040585x97t991441

zbMATH Keywords

entropyMarkov processsemimartingalequasimartingaleequivalent measureGaussian martingale

Mathematics Subject Classification ID

Gaussian processes (60G15) Martingales with discrete parameter (60G42) Fractional processes, including fractional Brownian motion (60G22)

Cites Work

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• Mixed fractional Brownian motion
• Representation of gaussian processes equivalent to a gaussian martingalet
• Fractional Brownian Motions, Fractional Noises and Applications
• Heuristic Approach to the Kolmogorov-Smirnov Theorems

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