Distance from fractional Brownian motion with associated Hurst index \(0<H<1/2\) to the subspaces of Gaussian martingales involving power integrands with an arbitrary positive exponent (Q2209742)

The authors obtain the best approximation for the fractional Brownian motion \(W^H\) with Hurst index \(H\in (0,1/2)\) by Gaussian martingales of the form \(M_t= \int_0^ts^\gamma dW_s, \gamma>0 \), where \(W\) is the standard Wiener process. The best approximation is in the sense of minimizing \(E(W_t^H-M_t)^2\) over the interval \([0,T].\)