Journal of Integral Equations and Applications

On the Connection Between Molchan-Golosov and Mandelbrot- Van Ness Representations of Fractional Brownian Motion

C. Jost

Full-text: Open access

Article information

Source
J. Integral Equations Applications, Volume 20, Number 1 (2008), 93-119.

Dates
First available in Project Euclid: 25 March 2008

Permanent link to this document
https://projecteuclid.org/euclid.jiea/1206475808

Digital Object Identifier
doi:10.1216/JIE-2008-20-1-93

Mathematical Reviews number (MathSciNet)
MR2396956

Zentralblatt MATH identifier
1147.60024

Subjects
Primary: 60G15: Gaussian processes 26A33: Fractional derivatives and integrals 60G18: Self-similar processes

Keywords
Fractional Brownian motion integral transform fractional calculus

Citation

Jost, C. On the Connection Between Molchan-Golosov and Mandelbrot- Van Ness Representations of Fractional Brownian Motion. J. Integral Equations Applications 20 (2008), no. 1, 93--119. doi:10.1216/JIE-2008-20-1-93. https://projecteuclid.org/euclid.jiea/1206475808


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References

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