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arXiv · 1610.02900

Prediction Law of fractional Brownian Motion

Tommi Sottinen·Lauri Viitasaari
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Abstract

We calculate the regular conditional future law of the fractional Brownian motion with index $H\in(0,1)$ conditioned on its past. We show that the conditional law is continuous with respect to the conditioning path. We investigate the path properties of the conditional process and the asymptotic behavior of the conditional covariance.

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Tommi Sottinen, Lauri Viitasaari. 2017-05-07. Prediction Law of fractional Brownian Motion. https://arxiv.org/abs/1610.02900

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