Approximation of a Wiener process by integrals with respect to the fractional Brownian motion of power functions of a given exponent (Q2944728): Difference between revisions

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English	Approximation of a Wiener process by integrals with respect to the fractional Brownian motion of power functions of a given exponent	scientific article

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scholarly article

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title

Approximation of a Wiener process by integrals with respect to the fractional Brownian motion of power functions of a given exponent (English)

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Theory of Probability and Mathematical Statistics

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publication date

8 September 2015

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zbMATH Keywords

Wiener process

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stochastic integrals

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fractional Brownian motion

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approximation

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1090/tpms/946

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cites work

Q3441312

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Q5325071

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A bound for the distance between fractional Brownian motion and the space of Gaussian martingales on an interval

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The distance between fractional Brownian motion and the subspace of martingales with “similar” kernels

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Q2850381

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Approximation of fractional Brownian motion by Wiener integrals

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Mixed Brownian–fractional Brownian model: absence of arbitrage and related topics

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Q3077820

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Filtering and parameter estimation in a simple linear system driven by a fractional Brownian motion

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Stochastic calculus for fractional Brownian motion and related processes.

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An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions

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Approximation of fractional Brownian motion by martingales

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A note on fractional Brownian motion

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Identifiers

zbMATH Open document ID

1326.60076

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DOI

10.1090/tpms/946

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:2944728

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@@ Property / cites work @@
+Q3441312
@@ Property / cites work: Q3441312 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5325071
@@ Property / cites work: Q5325071 / rank @@
+Normal rank
@@ Property / cites work @@
+A bound for the distance between fractional Brownian motion and the space of Gaussian martingales on an interval
+Normal rank
@@ Property / cites work @@
+The distance between fractional Brownian motion and the subspace of martingales with “similar” kernels
+Normal rank
@@ Property / cites work @@
+Q2850381
@@ Property / cites work: Q2850381 / rank @@
+Normal rank
@@ Property / cites work @@
+Approximation of fractional Brownian motion by Wiener integrals
+Normal rank
@@ Property / cites work @@
+Mixed Brownian–fractional Brownian model: absence of arbitrage and related topics
+Normal rank
@@ Property / cites work @@
+Q3077820
@@ Property / cites work: Q3077820 / rank @@
+Normal rank
@@ Property / cites work @@
+Filtering and parameter estimation in a simple linear system driven by a fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Stochastic calculus for fractional Brownian motion and related processes.
+Normal rank
@@ Property / cites work @@
+An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
+Normal rank
@@ Property / cites work @@
+Approximation of fractional Brownian motion by martingales
+Normal rank
@@ Property / cites work @@
+A note on fractional Brownian motion
@@ Property / cites work: A note on fractional Brownian motion / rank @@
+Normal rank