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Semimartingale representation of fractional Riesz-Bessel motion

Author

Listed:
  • V.V. Anh

    (School of Mathematical Sciences, Queensland University of Technology, GPO Box 2434, Brisbane, Q. 4001, Australia Manuscript)

  • C.N. Nguyen

    (School of Mathematical Sciences, Queensland University of Technology, GPO Box 2434, Brisbane, Q. 4001, Australia Manuscript)

Abstract

Fractional Brownian motion (fBm) is fundamental in studying the phenomenon of long-range dependence in a wide range of fields. However, since fBm is not a semimartingale, some restrictions have been imposed on an fBm stochastic calculus. This paper studies fractional Riesz-Bessel motion (fRBm), which possesses many desirable properties of fBm and is a semimartingale for a range of its parameters. The prediction formula for fRBm is obtained, from which its semimartigale representation is established.

Suggested Citation

  • V.V. Anh & C.N. Nguyen, 2001. "Semimartingale representation of fractional Riesz-Bessel motion," Finance and Stochastics, Springer, vol. 5(1), pages 83-101.
    • Handle: RePEc:spr:finsto:v:5:y:2001:i:1:p:83-101
    Note: received: June 1999; final version received: January 2000
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