Finance and Stochastics

, Volume 5, Issue 1, pp 83–101

Semimartingale representation of fractional Riesz-Bessel motion

  • V.V. Anh
  • C.N. Nguyen
Original Paper

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.

Key words: Fractional Brownian motion, stochastic integrals, long-range dependence 
JRL Classification: C10 
Mathematics Subject Classification (1991): 60H05 

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Copyright information

© Springer-Verlag Berlin Heidelberg 2001

Authors and Affiliations

  • V.V. Anh
    • 1
  • C.N. Nguyen
    • 1
  1. 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

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