You currently have no access to view or download this content. Please log in with your institutional or personal account if you should have access to this content through either of these.
Showing a limited preview of this publication:
Abstract
Exact discretization formulae are established for a first-order stochastic differential equation driven by a fractional noise of either long memory or antipersistent type. We assume that the underlying process is sampled at non-unit equispaced observational intervals. Using fractional algebra techniques the exact discretization formulae are derived in terms of confluent hypergeometric and incomplete gamma functions which admit infinite order series expansions.
Keywords: stochastic differential equations; fractional noise; exact discretization formulae; special functions
Published Online: 2012-11-14
©2012 Walter de Gruyter GmbH & Co. KG, Berlin/Boston