Abstract
We provide a device, called the local predictor, which extends the idea of the predictable compensator. It is shown that a fBm with the Hurst index greater than 1/2 coincides with its local predictor while fBm with the Hurst index smaller than 1/2 does not admit any local predictor.
Mathematics Subject Classification (2000). Primary 60G07; Secondary 60G15, 60G48, 60G25.
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Jakubowski, A. (2011). Are Fractional Brownian Motions Predictable?. In: Dalang, R., Dozzi, M., Russo, F. (eds) Seminar on Stochastic Analysis, Random Fields and Applications VI. Progress in Probability, vol 63. Springer, Basel. https://doi.org/10.1007/978-3-0348-0021-1_10
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DOI: https://doi.org/10.1007/978-3-0348-0021-1_10
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