Abstract
In a previous paper, the authors established a link between generalized grey Brownian motions (ggBm) and generalized grey Ornstein–Uhlenbeck processes as an extension of the results in by using a representation of ggBm as a product of a positive and time-independent random variable and an fBm. The results in this publication are wrong, since they just considered the moving average representation of fractional Brownian motion, omitting the residual part. In this short note, we fix this gap and give corrected formulas for the representation of ggBm using an infinite dimensional superposition of generalized grey Ornstein–Uhlenbeck processes.
| Original language | English |
|---|---|
| Pages (from-to) | 667-674 |
| Number of pages | 8 |
| Journal | Stochastics |
| Volume | 97 |
| Issue number | 5 |
| DOIs | |
| Publication status | Published - 2025 |
Fields of science
- 101 Mathematics
- 101019 Stochastics
- 101025 Number theory
- 101007 Financial mathematics
JKU Focus areas
- Digital Transformation