On Gaussian processes equivalent in law to fractional Brownian motion
This paper considers Gaussian processes that are equivalent in law to the fractional Brownian motion and their canonical representations. The paper proves a Hitsuda type representation theorem for the fractional Brownian motion with Hurst index \(H\leq \frac{1}{2}\). For the case \(H>\frac{1}{2}\) it is shown that such a representation cannot hold. The paper also considers briefly the connection between Hitsuda and Girsanov representations. Using the Hitsuda representation the paper considers a certain special kind of Gaussian stochastic equation with fractional Brownian motion as noise.
canonical representation of Gaussian processes
scientific article; zbMATH DE number 2083449