| Título: | Fractional Brownian Motion and the Markov Property |
| Autores: |
Carmona, Philippe; Université Paul Sabatier Coutin, Laure; Université Paul Sabatier |
| Fecha: | 1998-01-01 |
| Publicador: | Electronic communications in probability |
| Fuente: |
 |
| Tipo: |
Peer-reviewed Article |
| Tema: |
Mathematics Gaussian processes, Markov Processes, Numerical Approximation, Ergodic Theorem. 60FXX,60J25,60G15,65U05,26A33,60A10. |
| Descripción: | Fractional Brownian motion belongs to a class of long memory Gaussian processes that can be represented as linear functionals of an infinite dimensional Markov process. This leads naturally to: An efficient algorithm to approximate the process. An ergodic theorem which applies to functionals of the type $$\int_0^t \phi(V_h(s)),ds \quad\text{where}\quad V_h(s)=\int_0^s h(s-u), dB_u,.$$ where $B$ is a real Brownian motion. |
| Idioma: | Inglés |
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