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On the connection between Molchan-Golosov and Mandelbrot-Van Ness representations of fractional Brownian motion

Celine Jost
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Abstract

We proof a connection between the generalized Molchan-Golosov integral transform and the generalized Mandelbrot-Van Ness integral transform 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 (-infty,t].

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Celine Jost. 2007-05-04. On the connection between Molchan-Golosov and Mandelbrot-Van Ness representations of fractional Brownian motion. https://arxiv.org/abs/math/0602356

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