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- W2964305116 abstract "We represent fractional conditional expectations (an extension of the classical conditional expectations) of a functional of fractional Brownian motion as a convergent series in L 2 (P H ) space. When the target random variable is some function of a discrete trajectory of fractional Brownian motion, we obtain a backward Taylor series representation; when the target functional is generated by a continuous fractional filtration, the series representation is obtained by applying a ”frozen path” operator and an exponential operator to the functional. We provide three examples where our representation gives useful series expansions of expectations in several models." @default.
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- W2964305116 date "2015-06-01" @default.
- W2964305116 modified "2023-09-25" @default.
- W2964305116 title "Fractional Hida-Malliavan derivatives and series representations of fractional conditional expectations" @default.
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- W2964305116 doi "https://doi.org/10.31390/cosa.9.2.05" @default.
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