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On an eigenfunction expansion and on fractional Brownian motions

✍ Scribed by B. B. Mandelbrot


Book ID
112883227
Publisher
Società Italiana di Fisica
Year
1982
Weight
68 KB
Volume
33
Category
Article
ISSN
0375-930X

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On some maximal inequalities for fractio
✍ Alexander Novikov; Esko Valkeila 📂 Article 📅 1999 🏛 Elsevier Science 🌐 English ⚖ 90 KB

We prove some maximal inequalities for fractional Brownian motions. These extend the Burkholder-Davis-Gundy inequalities for fractional Brownian motions. The methods are based on the integral representations of fractional Brownian motions with respect to a certain Gaussian martingale in terms of bet