Prediction law of fractional Brownian motion

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dc.contributor.authorSottinen, Tommi
dc.contributor.authorViitasaari, Lauri
dc.contributor.departmentfi=Ei tutkimusalustaa|en=No platform|-
dc.contributor.facultyfi=Tekniikan ja innovaatiojohtamisen yksikkö|en=School of Technology and Innovations|-
dc.contributor.organizationfi=Vaasan yliopisto|en=University of Vaasa|
dc.date.accessioned2020-01-09T07:01:24Z
dc.date.accessioned2025-06-25T12:26:05Z
dc.date.available2020-01-09T07:01:24Z
dc.date.issued2017-10-01
dc.description.abstractWe calculate the regular conditional future law of the fractional Brownian motion with index H ∈(0, 1) conditioned on its past. We show that the conditional law is continuous with respect to the conditioning path. We investigate the path properties of the conditional process and the asymptotic behavior of the conditional covariance.-
dc.description.reviewstatusfi=vertaisarvioitu|en=peerReviewed|-
dc.format.bitstreamtrue
dc.format.contentfi=kokoteksti|en=fulltext|-
dc.format.extent13-
dc.format.pagerange155-166-
dc.identifier.olddbid11077
dc.identifier.oldhandle10024/10178
dc.identifier.urihttps://osuva.uwasa.fi/handle/11111/225
dc.identifier.urnURN:NBN:fi-fe202001091609-
dc.language.isoeng-
dc.publisherElsevier-
dc.relation.doi10.1016/j.spl.2017.05.006-
dc.relation.ispartofjournalStatistics and probability letters-
dc.relation.issn0167-7152-
dc.relation.urlhttps://doi.org/10.1016/j.spl.2017.05.006-
dc.relation.volume129-
dc.rightsCC BY-NC-ND 4.0-
dc.source.identifierWOS: 000410018000021-
dc.source.identifierhttps://osuva.uwasa.fi/handle/10024/10178
dc.subjectfractional Brownian motion-
dc.subjectprediction-
dc.subjectregular conditional law-
dc.subject.olddisciplineTalousmatematiikka-
dc.titlePrediction law of fractional Brownian motion-
dc.type.okmfi=A1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä|en=A1 Peer-reviewed original journal article|sv=A1 Originalartikel i en vetenskaplig tidskrift|-
dc.type.publicationarticle-
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