Transfer principle for fractional Ornstein–Uhlenbeck processes
Abstract
We prove the transfer principle for fractional Ornstein–Uhlenbeck processes, i.e., we construct a Brownian motion that has the same filtration as the fractional Ornstein–Uhlenbeck process and then represent the fractional Ornstein–Uhlenbeck process by using the constructed Brownian motion. As applications of the transfer principle, we consider data-driven prediction by providing both prediction laws and consistent parameter estimation.
Fields of Study & Subjects
Stochastic processes and financial applications
Fractional Differential Equations Solutions
Statistical Distribution Estimation and Applications
Publication details
- Journal / source
- Theory of Probability and Mathematical Statistics
- Volume
- 114
- Issue
- 0
- Pages
- 189–198
- Publication date
- 4 June 2026
- Language
- EN