
arXiv: 1401.3236
We develop the canonical Volterra representation for a self-similar Gaussian process by using the Lamperti transformation of the corresponding stationary Gaussian process, where this latter one admits a canonical integral representation under the assumption of pure non-determinism. We apply the representation obtained for the self-similar Gaussian process to derive an expression for Gaussian processes that are equivalent in law to the self-similar Gaussian process in question.
Lamperti transformation, ta111, Probability (math.PR), Gaussian processes, Fractional processes, including fractional Brownian motion, equivalence in law, 60G15, 60G18, 60G22, Stationary stochastic processes, FOS: Mathematics, Self-similar stochastic processes, canonical Volterra representation, self-similar Gaussian processes, Mathematics - Probability
Lamperti transformation, ta111, Probability (math.PR), Gaussian processes, Fractional processes, including fractional Brownian motion, equivalence in law, 60G15, 60G18, 60G22, Stationary stochastic processes, FOS: Mathematics, Self-similar stochastic processes, canonical Volterra representation, self-similar Gaussian processes, Mathematics - Probability
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