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Prediction of fractional Brownian motion with Hurst index less than 1/2

Published online by Cambridge University Press:  17 April 2009

V. V. Anh  and
A. Inoue
V. V. Anh
Affiliation:
School of Mathematical Sciences, Queensland University of Technology, GPO Box 2434, Brisbane, Queensland 4001, Australia e-mail: v.anh@qut.edu.au
A. Inoue
Affiliation:
Department of Mathematics, Faculty of Science, Hokkaido University, Sapporo 060–0810, Japan e-mail: inoue@math.sci.hokudai.ac.jp
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We give a proof based on an integral equation for an explicit prediction formula for fractional Brownian motion with Hurst index less than 1/2.

Type
Research Article
Information
Bulletin of the Australian Mathematical Society , Volume 70 , Issue 2 , October 2004 , pp. 321 - 328
Copyright
Copyright © Australian Mathematical Society 2004

References

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