On the prediction of fractional Brownian motion

被引：125
|
作者：
Gripenberg, G [1 ]
Norros, I [1 ]
机构：
[1] VTT INFORMAT TECHNOL TELECOMMUN,VTT 02044,FINLAND
来源：
JOURNAL OF APPLIED PROBABILITY | 1996年 / 33卷 / 02期
关键词：
fractional Brownian motion; prediction; stochastic integration;
D O I：
10.2307/3215063
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
Integration with respect to the fractional Brownian motion Z with Hurst parameter H is an element of (1/2, 1) is discussed. The predictor E [Z(u)\Z(s), s is an element of (-T, 0)] is represented as an integral with respect to Z, solving a weakly singular integral equation for the prediction weight function.
引用
收藏
页码：400 / 410
页数：11
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