• Published 2006

PR ] 1 6 Fe b 20 06 A note on the connection between Molchan-Golosov-and Mandelbrot-Van Ness representation of fractional Brownian motion

@inproceedings{Jost2006PR1,
  title={PR ] 1 6 Fe b 20 06 A note on the connection between Molchan-Golosov-and Mandelbrot-Van Ness representation of fractional Brownian motion},
  author={C{\'e}line Jost},
  year={2006}
}
We proof a connection between the generalized Molchan-Golosov integral transform (see [4], Theorem 5.1) and the generalized MandelbrotVanNess integral transform (see [8], Theorem 1.1) of fractional Brownian motion (fBm). The former changes fBm of arbitrary Hurst index K into fBm of index H by integrating over [0, t], whereas the latter requires integration over (−∞, t] for t > 0. This completes an argument in [4], where the connection is mentioned without full proof. 2000 Mathematics Subject… CONTINUE READING