Approximation of some processes

DOI10.1023/A:1009999518898MaRDI QIDQ5933675zbMATH OpenOpenAlexFDO

Authors Philippe Carmona, L. Coutin, G. Montseny

Publication date 23 May 2002

Published in Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1009999518898

zbMATH Keywords

fractional Brownian motionGaussian processesnumerical approximation

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Gaussian processes (60G15) Stochastic processes (60G99)

Review text

It is considered a class of processes \(W_k(t)=\int_0^t K(t,s) dM(s)\), which have a moving average representation with respect to a fixed driving martingale \(M(s)\) (\(K(t,s)\) some deterministic kernel). In the case, when the driving martingale is Gaussian, a numerically efficient approximation scheme and a central limit theorem are obtained. A typical process of this class is fractional Brownian motion.

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