Title of article :
Transformation formulas for fractional Brownian motion
Author/Authors :
Jost، نويسنده , , Céline، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2006
Pages :
17
From page :
1341
To page :
1357
Abstract :
We derive a Molchan–Golosov-type integral transform which changes fractional Brownian motion of arbitrary Hurst index K into fractional Brownian motion of index H . Integration is carried out over [ 0 , t ] , t > 0 . The formula is derived in the time domain. Based on this transform, we construct a prelimit which converges in L 2 ( P ) -sense to an analogous, already known Mandelbrot–Van Ness-type integral transform, where integration is over ( − ∞ , t ] , t > 0 .
Keywords :
Fractional Brownian motion , fractional calculus , Integral transform , Stochastic integration
Journal title :
Stochastic Processes and their Applications
Serial Year :
2006
Journal title :
Stochastic Processes and their Applications
Record number :
1577815
Link To Document :
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