Fractional Brownian motion and the Markov Property

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dc.creatorCarmona, Philippe
dc.creatorCoutin, Laure
dc.date1998-09-22
dc.date.accessioned2026-07-07T05:26:06Z
dc.date.available2026-07-07T05:26:06Z
dc.descriptionFractional Brownian motion belongs to a class of long memory Gaussian processes that can be represented as linear functionals of an infinite dimensional Markov process. This representation leads naturally to: - An efficient algorithm to approximate the process. - An infinite dimensional ergodic theorem which applies to functionals of the type $integral_0^t phi(V_h(s)) ds $ where $V_h(s)=integral_0^t h(t-u) dB_u$ and $B$ is a standard Brownian motion.
dc.description9 pages
dc.identifierhttps://arxiv.org/abs/math/9809123
dc.identifierhttp://arxiv.org/abs/math/9809123
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/77429
dc.subjectProbability
dc.subject60FXX;60J25;60G15;65U05
dc.titleFractional Brownian motion and the Markov Property
dc.typetext

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