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math.PR2025
Entropy of Wiener integrals with respect to fractional Brownian motion
Iryna Bodnarchuk, Yuliya Mishura, Kostiantyn Ralchenko
The paper is devoted to the properties of the entropy of the exponent-Wiener-integral fractional Gaussian process (EWIFG-process), that is a Wiener integral of the exponent with re…
math.PR2024
Fractional Gaussian noise: Projections, prediction, norms
Iryna Bodnarchuk, Yuliya Mishura, Kostiantyn Ralchenko
We examine the one-sided and two-sided (bilateral) projections of an element of fractional Gaussian noise onto its neighboring elements. We establish several analytical results and…