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A frequency domain approach to some results on fractional Brownian motion

✍ Scribed by K. Dzhaparidze; J.A. Ferreira

Publisher
Elsevier Science
Year
2002
Tongue
English
Weight
197 KB
Volume
60
Category
Article
ISSN
0167-7152

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✦ Synopsis

Let X be a fractional Brownian motion. It is known that M t = m t dX; t ΒΏ 0, where m t is a certain kernel, deΓΏnes a martingale M , and also that X can be represented by X t = x t dM; t ΒΏ 0, for some kernel x t . We derive these results by using the spectral representation of the covariance function of X . A formula for the covariance between X and M is also given.

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