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Semimartingale representation of fractional Riesz-Bessel motion

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Abstract.

Fractional Brownian motion (fBm) is fundamental in studying the phenomenon of long-range dependence in a wide range of fields. However, since fBm is not a semimartingale, some restrictions have been imposed on an fBm stochastic calculus. This paper studies fractional Riesz-Bessel motion (fRBm), which possesses many desirable properties of fBm and is a semimartingale for a range of its parameters. The prediction formula for fRBm is obtained, from which its semimartigale representation is established.

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Authors and Affiliations

  1. School of Mathematical Sciences, Queensland University of Technology, GPO Box 2434, Brisbane, Q. 4001, Australia (e-mail: v.anh@fsc.qut.edu.au), , , , , , AU

    V.V. Anh & C.N. Nguyen

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  1. V.V. Anh
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  2. C.N. Nguyen
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Manuscript received: June 1999; final version received: January 2000

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Anh, V., Nguyen, C. Semimartingale representation of fractional Riesz-Bessel motion. Finance Stochast 5, 83–101 (2001). https://doi.org/10.1007/PL00000041

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  • DOI: https://doi.org/10.1007/PL00000041

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