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Fractional Brownian Motion and the Markov Property

Dublin Core		PKP Metadata Items	Metadata for this Document
1.	Title	Title of document	Fractional Brownian Motion and the Markov Property
2.	Creator	Author's name, affiliation, country	Philippe Carmona; Université Paul Sabatier
2.	Creator	Author's name, affiliation, country	Laure Coutin; Université Paul Sabatier
3.	Subject	Discipline(s)	Mathematics
3.	Subject	Keyword(s)	Gaussian processes, Markov Processes, Numerical Approximation, Ergodic Theorem.
3.	Subject	Subject classification	60FXX,60J25,60G15,65U05,26A33,60A10.
4.	Description	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: An efficient algorithm to approximate the process. 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.
5.	Publisher	Organizing agency, location
6.	Contributor	Sponsor(s)
7.	Date	(YYYY-MM-DD)	1998-10-27
8.	Type	Status & genre	Peer-reviewed Article
8.	Type	Type
9.	Format	File format	PDF
10.	Identifier	Uniform Resource Identifier	http://ecp.ejpecp.org/article/view/998
10.	Identifier	Digital Object Identifier	10.1214/ECP.v3-998
11.	Source	Journal/conference title; vol., no. (year)	Electronic Communications in Probability; Vol 3
12.	Language	English=en	en
14.	Coverage	Geo-spatial location, chronological period, research sample (gender, age, etc.)
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