Fractional Brownian Motion and the Markov Property

Abstract

Fractional Brownian motion belongs to a class of long memory Gaussian processes that can be represented as linear functionals of an infinite dimensional Markov process. This leads naturaly to : • An efficient algorithm to approximate the process. • An ergodic theorem which applies to functionals of the type ∫ t 0 φ(Vh(s)) ds where Vh(s) = ∫ t

Cite this paper

@inproceedings{Carmona1997FractionalBM, title={Fractional Brownian Motion and the Markov Property}, author={Philippe Carmona and Laure Coutin}, year={1997} }