On the prediction of fractional Brownian motion

descriptionPublicationkeyboard_double_arrow_right Article 01 Jun 1996 English Publisher:Cambridge University Press (CUP)Journal:Journal of Applied Probability, volume 33, pages 400-410 (issn: 0021-9002, eissn: 1475-6072,

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Authors: Gripenberg, Gustaf; Norros; Ilkka;

doi: 10.2307/3215063 , 10.1017/s0021900200099812

On the prediction of fractional Brownian motion

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Abstract

Integration with respect to the fractional Brownian motion Z with Hurst parameter is discussed. The predictor is represented as an integral with respect to Z, solving a weakly singular integral equation for the prediction weight function.

Related Organizations

University of Helsinki
Finland
VTT Technical Research Centre of Finland
Finland

Keywords

fractional Brownian motion, Self-similar stochastic processes, Gaussian processes, stochastic integration, Prediction theory (aspects of stochastic processes), prediction, Inference from stochastic processes and prediction

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