{
  "id": "2311.00823",
  "version": "v1",
  "published": "2023-11-01T20:15:11.000Z",
  "updated": "2023-11-01T20:15:11.000Z",
  "title": "Transfer principle for fractional Ornstein-Uhlenbeck processes",
  "authors": [
    "Tommi Sottinen",
    "Lauri Viitasaari"
  ],
  "categories": [
    "math.PR"
  ],
  "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 prediction.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2023-11-01T20:15:11.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60G15",
      "60G18",
      "60G22",
      "60G25"
    ],
    "keywords": [
      "fractional ornstein-uhlenbeck process",
      "transfer principle",
      "constructed brownian motion",
      "filtration"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}