Access the full text.
Sign up today, get DeepDyve free for 14 days.
Loading next page...
/lp/springer-journals/seminar-on-stochastic-analysis-random-fields-and-applications-vi-are-kCMrwTDkOl
References (18)
-
J. Doob (1953)
Stochastic processes -
Adam Jakubowski (2006)
Towards a general Doob-Meyer decomposition theorem -
J. Ahn, Soun-Hi Kwon (2004)
The class groups of the imaginary Abelian number fields with Galois group (ℤ/2ℤ)nBulletin of the Australian Mathematical Society, 70
-
J. Jacod (1984)
Une generalisation des semimaritingales : Les processus admettant un processus a accroissements independants tangent, 18
-
福島 正俊 (1980)
Dirichlet forms and Markov processes -
V. Anh, A. Inoue (2004)
Prediction of fractional Brownian motion with Hurst index less than 1/2Bulletin of the Australian Mathematical Society, 70
-
C. Nuzman, H. Poor (2000)
Linear estimation of self-similar processes via Lamperti's transformationJournal of Applied Probability, 37
-
M. Errami, F. Russo (2003)
n-covariation, generalized Dirichlet processes and calculus with respect to finite cubic variation processesStochastic Processes and their Applications, 104
-
Acknowledgment The author is grateful to Esko Valkeila for stimulating discussions -
Adam Jakubowski (2005)
An Almost Sure Approximation for the Predictable Process in the Doob-Meyer Decomposition Theorem -
J. Komlos (1967)
A generalization of a problem of SteinhausActa Mathematica Academiae Scientiarum Hungarica, 18
-
Mohammed Errami, F. Russo (1998)
Covariation de convolution de martingalesComptes Rendus De L Academie Des Sciences Serie I-mathematique, 326
-
JB Clément (2006)
Weak Dirichlet Processes with a Stochastic Control Perspective -
I︠U︡lii︠a︡ Mishura (2008)
Stochastic Calculus for Fractional Brownian Motion and Related Processes -
S. Graversen, M. Rao (1985)
Quadratic variation and energyNagoya Mathematical Journal, 100
-
(2006)
and L -
F. Biagini, Yaozhong Hu, B. Øksendal, Tusheng Zhang (2008)
Stochastic Calculus for Fractional Brownian Motion and Applications -
F. Coquet, Adam Jakubowski, J. Mémin, L. Slominski (2004)
Natural Decomposition of Processes and Weak Dirichlet ProcessesLecture Notes in Mathematics, 1874
- Publisher
- Springer Basel
- Copyright
- © Springer Basel AG 2011
- ISBN
- 978-3-0348-0020-4
- Pages
- 159 –165
- DOI
- 10.1007/978-3-0348-0021-1_10
- Publisher site
- See Chapter on Publisher Site
Abstract
[We provide a device, called the local predictor, which extends the idea of the predictable compensator. It is shown that a fBm with the Hurst index greater than 1/2 coincides with its local predictor while fBm with the Hurst index smaller than 1/2 does not admit any local predictor.]
Published: Feb 4, 2011
Keywords: Fractional Brownian motion; predictable compensator; local predictor; finite energy processes; weak Dirichlet processes