Semimartingale representation of fractional Riesz-Bessel motion
- 63 Downloads
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.
Unable to display preview. Download preview PDF.