Representations of fractional Brownian motion using vibrating strings
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- Novikov, Alexander & Valkeila, Esko, 1999. "On some maximal inequalities for fractional Brownian motions," Statistics & Probability Letters, Elsevier, vol. 44(1), pages 47-54, August.
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- Cheridito, Patrick, 2004. "Gaussian moving averages, semimartingales and option pricing," Stochastic Processes and their Applications, Elsevier, vol. 109(1), pages 47-68, January.
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- van Zanten, Harry, 2007. "When is a linear combination of independent fBm's equivalent to a single fBm?," Stochastic Processes and their Applications, Elsevier, vol. 117(1), pages 57-70, January.
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Keywords
Fractional Brownian motion Krein correspondence Moving average representation Series expansion Vibrating string;Statistics
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