| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1155046 | Statistics & Probability Letters | 2006 | 7 Pages |
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)(0,1). These processes are constructed as solutions of stochastic differential equations with a fractional Brownian motion or as solutions of multiple stochastic integrals.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
T.E. Duncan,