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Prediction for some processes related to a fractional Brownian motion

Author

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  • Duncan, T.E.

Abstract

In this paper, explicit expressions are given for some conditional expectations for the prediction of some stochastic processes that are obtained from a fractional Brownian motion with the Hurst parameter in the interval (0,1). These processes are constructed as solutions of stochastic differential equations with a fractional Brownian motion or as solutions of multiple stochastic integrals.

Suggested Citation

  • Duncan, T.E., 2006. "Prediction for some processes related to a fractional Brownian motion," Statistics & Probability Letters, Elsevier, vol. 76(2), pages 128-134, January.
    • Handle: RePEc:eee:stapro:v:76:y:2006:i:2:p:128-134
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    Cited by:

    1. Biagini, Francesca & Fink, Holger & Klüppelberg, Claudia, 2013. "A fractional credit model with long range dependent default rate," Stochastic Processes and their Applications, Elsevier, vol. 123(4), pages 1319-1347.
    2. Sottinen, Tommi & Viitasaari, Lauri, 2017. "Prediction law of fractional Brownian motion," Statistics & Probability Letters, Elsevier, vol. 129(C), pages 155-166.

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