Long-range dependent completely correlated mixed fractional Brownian motion
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Publication:6123268
DOI10.1016/j.spa.2023.104289arXiv2104.04992OpenAlexW3164293419MaRDI QIDQ6123268
Lauri Viitasaari, Tommi Sottinen, Foad Shokrollahi, Josephine Dufitinema
Publication date: 4 March 2024
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2104.04992
predictionfractional Brownian motiontransfer principlemixed fractional Brownian motionCameron-Martin-Girsanov-Hitsuda theorem
Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Prediction theory (aspects of stochastic processes) (60G25)
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