IDEAS home Printed from https://ideas.repec.org/a/eee/spapps/v107y2003i2p327-350.html
   My bibliography  Save this article

Equivalence of Volterra processes

Author

Listed:
  • Baudoin, Fabrice
  • Nualart, David

Abstract

In this paper we study necessary and sufficient conditions for the equivalence of Volterra Gaussian processes. Though this topic has already been studied in the literature, we provide new proofs, precisions and new theorems. We also give some examples of equivalent Volterra processes all related to the extensively studied fractional Brownian motion. Finally, we give an extension to general Gaussian processes of a recent regularization theorem by P. Cheridito.

Suggested Citation

  • Baudoin, Fabrice & Nualart, David, 2003. "Equivalence of Volterra processes," Stochastic Processes and their Applications, Elsevier, vol. 107(2), pages 327-350, October.
    • Handle: RePEc:eee:spapps:v:107:y:2003:i:2:p:327-350
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0304-4149(03)00088-7
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Tommi Sottinen & Ciprian A. Tudor, 2006. "On the Equivalence of Multiparameter Gaussian Processes," Journal of Theoretical Probability, Springer, vol. 19(2), pages 461-485, June.
    2. van Zanten, Harry, 2007. "When is a linear combination of independent fBm's equivalent to a single fBm?," Stochastic Processes and their Applications, Elsevier, vol. 117(1), pages 57-70, January.
    3. Daw, Lara, 2021. "A uniform result for the dimension of fractional Brownian motion level sets," Statistics & Probability Letters, Elsevier, vol. 169(C).
    4. Wang, Ling & Chiu, Mei Choi & Wong, Hoi Ying, 2021. "Volterra mortality model: Actuarial valuation and risk management with long-range dependence," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 1-14.
    5. Russo, Francesco & Tudor, Ciprian A., 2006. "On bifractional Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 116(5), pages 830-856, May.
    6. Zhou, Hongjuan & Zhou, Kenneth Q. & Li, Xianping, 2022. "Stochastic mortality dynamics driven by mixed fractional Brownian motion," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 218-238.
    7. Peccati, Giovanni, 2004. "Anticipative stochastic integration based on time-space chaos," Stochastic Processes and their Applications, Elsevier, vol. 112(2), pages 331-355, August.
    8. Yazigi, Adil, 2015. "Representation of self-similar Gaussian processes," Statistics & Probability Letters, Elsevier, vol. 99(C), pages 94-100.
    9. T. Sottinen, 2004. "On Gaussian Processes Equivalent in Law to Fractional Brownian Motion," Journal of Theoretical Probability, Springer, vol. 17(2), pages 309-325, April.
    10. Dzhaparidze, Kacha & van Zanten, Harry & Zareba, Pawel, 2005. "Representations of fractional Brownian motion using vibrating strings," Stochastic Processes and their Applications, Elsevier, vol. 115(12), pages 1928-1953, December.
    11. Ling Wang & Mei Choi Chiu & Hoi Ying Wong, 2020. "Volterra mortality model: Actuarial valuation and risk management with long-range dependence," Papers 2009.09572, arXiv.org.
    12. Ouknine, Youssef & Erraoui, Mohamed, 2008. "Equivalence of Volterra processes: Degenerate case," Statistics & Probability Letters, Elsevier, vol. 78(4), pages 435-444, March.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:107:y:2003:i:2:p:327-350. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.