Prediction law of fractional Brownian motion

Tutkimustuotos: Lehtiartikkelivertaisarvioitu

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Prediction law of fractional Brownian motion. / Sottinen, Tommi; Viitasaari, Lauri.

julkaisussa: Statistics and Probability Letters, Vuosikerta 129, 01.10.2017, s. 155-166.

Tutkimustuotos: Lehtiartikkelivertaisarvioitu

Harvard

Sottinen, T & Viitasaari, L 2017, 'Prediction law of fractional Brownian motion' Statistics and Probability Letters, Vuosikerta. 129, Sivut 155-166. DOI: 10.1016/j.spl.2017.05.006

APA

Vancouver

Sottinen T, Viitasaari L. Prediction law of fractional Brownian motion. Statistics and Probability Letters. 2017 loka 1;129:155-166. Saatavuus:, DOI: 10.1016/j.spl.2017.05.006

Author

Sottinen, Tommi ; Viitasaari, Lauri. / Prediction law of fractional Brownian motion. Julkaisussa: Statistics and Probability Letters. 2017 ; Vuosikerta 129. Sivut 155-166

Bibtex - Lataa

@article{c536c5661b8b46978a7e4d1f20e03092,
title = "Prediction law of fractional Brownian motion",
abstract = "We calculate the regular conditional future law of the fractional Brownian motion with index H∈(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.",
keywords = "Fractional Brownian motion, Prediction, Regular conditional law",
author = "Tommi Sottinen and Lauri Viitasaari",
year = "2017",
month = "10",
day = "1",
doi = "10.1016/j.spl.2017.05.006",
language = "English",
volume = "129",
pages = "155--166",
journal = "Statistics and Probability Letters",
issn = "0167-7152",
publisher = "Elsevier",

}

RIS - Lataa

TY - JOUR

T1 - Prediction law of fractional Brownian motion

AU - Sottinen,Tommi

AU - Viitasaari,Lauri

PY - 2017/10/1

Y1 - 2017/10/1

N2 - We calculate the regular conditional future law of the fractional Brownian motion with index H∈(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.

AB - We calculate the regular conditional future law of the fractional Brownian motion with index H∈(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.

KW - Fractional Brownian motion

KW - Prediction

KW - Regular conditional law

UR - http://www.scopus.com/inward/record.url?scp=85020501816&partnerID=8YFLogxK

U2 - 10.1016/j.spl.2017.05.006

DO - 10.1016/j.spl.2017.05.006

M3 - Article

VL - 129

SP - 155

EP - 166

JO - Statistics and Probability Letters

T2 - Statistics and Probability Letters

JF - Statistics and Probability Letters

SN - 0167-7152

ER -

ID: 14244040