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Are Fractional Brownian Motions Predictable?

  • Adam JakubowskiEmail author
Conference paper
Part of the Progress in Probability book series (PRPR, volume 63)

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.

Keywords

Fractional Brownian motion predictable compensator local predictor finite energy processes weak Dirichlet processes 

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Copyright information

© Springer Basel AG 2011

Authors and Affiliations

  1. 1.Faculty of Mathematics and Computer ScienceNicolaus Copernicus UniversityToruńPoland

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