A note on the connection between Molchan-Golosov- and Mandelbrot-Van Ness representation of fractional Brownian motion
نویسنده
چکیده
We proof a connection between the generalized Molchan-Golosov integral transform (see [4], Theorem 5.1) and the generalized MandelbrotVanNess integral transform (see [8], Theorem 1.1) of fractional Brownian motion (fBm). The former changes fBm of arbitrary Hurst index K into fBm of index H by integrating over [0, t], whereas the latter requires integration over (−∞, t] for t > 0. This completes an argument in [4], where the connection is mentioned without full proof. 2000 Mathematics Subject Classification: 60G15; 60G18
منابع مشابه
On the connection between Molchan-Golosov and Mandelbrot-Van Ness representations of fractional Brownian motion
We prove analytically a connection between the generalized Molchan-Golosov integral transform (see [4], Theorem 5.1) and the generalized Mandelbrot-VanNess integral transform (see [8], Theorem 1.1) of fractional Brownian motion (fBm). The former changes fBm of arbitrary Hurst index K into fBm of index H by integrating over [0, t], whereas the latter requires integration over (−∞, t] for t > 0. ...
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تاریخ انتشار 2006