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Fractional Brownian Motion and the Markov Property

   
@article{ECP998,
	author = {Philippe Carmona and Laure Coutin},
	title = {Fractional Brownian Motion and the Markov Property},
	journal = {Electron. Commun. Probab.},
	fjournal = {Electronic Communications in Probability},
	volume = {3},
	year = {1998},
	keywords = {Gaussian processes, Markov Processes, Numerical Approximation,  Ergodic Theorem.},
	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 naturally to: 
     
  1.  An efficient algorithm to approximate the process. 
  2.  An ergodic theorem which applies to functionals of the type 
     $$\int_0^t \phi(V_h(s)),ds \quad\text{where}\quad V_h(s)=\int_0^s h(s-u), dB_u,.$$ 
 where $B$ is a real Brownian motion.},
	pages = {no. 12, 95-107},
	issn = {1083-589X},
	doi = {10.1214/ECP.v3-998},    
        url = {http://ecp.ejpecp.org/article/view/998}}