Transformation formulas for fractional Brownian motion
By Céline Jost. 2006
80 citations recorded by the source corpus.
We derive a Molchan-Golosov-type integral transform which changes fractional Brownian motion of arbitrary Hurst index K into fractional Brownian motion of index H. Integration is carried out over [0,t], t>0. The formula is derived in the time domain. Based on this transform, we construct a prelimit which converges in -sense to an analogous, already known Mandelbrot-Van Ness-type integral transform, where integration is over (-[infinity],t], t>0.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/3692ae5a9c9e34a24e2458647abd9780487d3d8c
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In Economics and Econometrics
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Citations in the corpus
- Representation formulae for the fractional Brownian motion (2009, methodology): “3 (such a relation was obtained by [20]).”