On the prediction of fractional Brownian motion

1 March 1996

journal article
research article
Published by Cambridge University Press (CUP) in Journal of Applied Probability

Vol. 33 (02) , 400-410
https://doi.org/10.1017/s0021900200099812

Abstract

Integration with respect to the fractional Brownian motionZwith Hurst parameteris discussed. The predictoris represented as an integral with respect toZ,solving a weakly singular integral equation for the prediction weight function.

Keywords

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