Fractional Ornstein-Uhlenbeck processes.
Cheridito, Patrick, Kawaguchi, Hideyuki, Maejima, Makoto (2003)
Electronic Journal of Probability [electronic only]
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Displaying similar documents to “Fractional Brownian motion and the Markov property.”
Fractional Ornstein-Uhlenbeck processes.
Approximation of the fractional Brownian sheet Ornstein-Uhlenbeck sheet
Laure Coutin, Monique Pontier (2007)
ESAIM: Probability and Statistics
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A stochastic “Fubini” lemma and an approximation theorem for integrals on the plane are used to produce a simulation algorithm for an anisotropic fractional Brownian sheet. The convergence rate is given. These results are valuable for any value of the Hurst parameters Finally, the approximation process is iterative on the quarter plane A sample of such simulations can be used to test estimators of the parameters = 1,2.
Further exponential generalization of Pitman's theorem.
Baudoin, Fabrice (2002)
Electronic Communications in Probability [electronic only]
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On the constructions of the skew Brownian motion.
Lejay, Antoine (2006)
Probability Surveys [electronic only]
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Canonical decompositions of certain generalized Brownian bridges.
Alili, Larbi (2002)
Electronic Communications in Probability [electronic only]
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Where did the Brownian particle go?
Pemantle, Robin, Peres, Yuval, Pitman, Jim, Yor, Marc (2001)
Electronic Journal of Probability [electronic only]
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Time reversal for drifted fractional Brownian motion with Hurst index .
Darses, Sebastien, Saussereau, Bruno (2007)
Electronic Journal of Probability [electronic only]
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Linear filtering with fractional Brownian motion in the signal and observation processes.
Kleptsyna, M.L., Kloeden, P.E., Anh, V.V. (1999)
Journal of Applied Mathematics and Stochastic Analysis
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Some extensions of fractional Brownian motion and sub-fractional Brownian motion related to particle systems.
Bojdecki, Tomasz, Gorostiza, Luis G., Talarczyk, Anna (2007)
Electronic Communications in Probability [electronic only]
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Hitting properties of a random string.
Mueller, C., Tribe, R. (2002)
Electronic Journal of Probability [electronic only]
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The brownian burglar : conditioning brownian motion by its local time process
Jonathan Warren, Marc Yor (1998)
Séminaire de probabilités de Strasbourg
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Local limit theorems for Brownian additive functionals and penalisation of Brownian paths, IX
Bernard Roynette, Marc Yor (2010)
ESAIM: Probability and Statistics
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We obtain a local limit theorem for the laws of a class of Brownian additive functionals and we apply this result to a penalisation problem. We study precisely the case of the additive functional: . On the other hand, we describe Feynman-Kac type penalisation results for long Brownian bridges thus completing some similar previous study for standard Brownian motion (see [B. Roynette, P. Vallois and M. Yor, (2006) 171–246]).