Approximation of some processes (Q5933675)
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scientific article; zbMATH DE number 1599675
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| English | Approximation of some processes |
scientific article; zbMATH DE number 1599675 |
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Approximation of some processes (English)
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23 May 2002
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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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Gaussian processes
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fractional Brownian motion
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numerical approximation
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0.94034934
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0.9178358
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0.90861243
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0.90779537
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