| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5129724 | Statistics & Probability Letters | 2017 | 12 Pages |
Abstract
We calculate the regular conditional future law of the fractional Brownian motion with index Hâ(0,1) conditioned on its past. We show that the conditional law is continuous with respect to the conditioning path. We investigate the path properties of the conditional process and the asymptotic behavior of the conditional covariance.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Tommi Sottinen, Lauri Viitasaari,