Semimartingale representation of fractional Riesz-Bessel motion
Fractional Brownian motion (fBm) is fundamental in studying the phenomenon of long-range dependence in a wide range of fields. However, since fBm is not a semimartingale, some restrictions have been imposed on an fBm stochastic calculus. This paper studies fractional Riesz-Bessel motion (fRBm), which possesses many desirable properties of fBm and is a semimartingale for a range of its parameters. The prediction formula for fRBm is obtained, from which its semimartigale representation is established.
Year of publication: |
2001-01-10
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Authors: | Anh, V.V. ; Nguyen, C.N. |
Published in: |
Finance and Stochastics. - Springer. - Vol. 5.2001, 1, p. 83-101
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Publisher: |
Springer |
Subject: | Fractional Brownian motion | stochastic integrals | long-range dependence |
Saved in:
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