On weak approximations of integrals with respect to fractional Brownian motion
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Various results on approximations of stochastic integrals with respect to fractional Brownian motion-type processes, when the integrand is of finite integral variation.
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Cites work
- An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
- Convergence en loi des suites d'integrales stochastiques sur l'espace \({\mathbb{D}}^ 1\) de Skorokhod. (Convergence in law of sequences of stochastic integrals on the Skorokhod space \({\mathbb{D}}^ 1)\)
- Convergence of certain functionals of integral fractional processes
- Fractional Brownian motion and martingale-differences
- Fractional Brownian motion, random walks and binary market models
- scientific article; zbMATH DE number 19574 (Why is no real title available?)
- scientific article; zbMATH DE number 2096694 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- Inequalities for the \(\mathbb L^p\) norms of integrals with respect to a fractional Brownian motion
- Inequalities for the moments of Wiener integrals with respect to a fractional Brownian motion
- Les processus de dirichlet et tant qu'espace de banach
- On bifractional Brownian motion
- Stochastic analysis of the fractional Brownian motion
- Stochastic and multiple Wiener integrals for Gaussian processes
- Sub-fractional Brownian motion and its relation to occupation times
Cited in
(12)- Weak symmetric integrals with respect to the fractional Brownian motion
- On the approximations of point measures associated with the Brownian web by means of the fractional step method and discretization of the initial interval
- Asymptotic error distribution for the Riemann approximation of integrals driven by fractional Brownian motion
- Weak and strong discrete-time approximation of fractional SDEs
- SDEs with constraints driven by semimartingales and processes with bounded \(p\)-variation
- Approximation of a stochastic integral with respect to fractional Brownian motion by integrals with respect to absolutely continuous processes
- Discrete approximation of stochastic integrals with respect to fractional Brownian motion of Hurst indexH>1/2
- REPRESENTATION AND WEAK CONVERGENCE OF STOCHASTIC INTEGRALS WITH FRACTIONAL INTEGRATOR PROCESSES
- Approximation of fractional Brownian motion by Wiener integrals
- Approximation of stochastic differential equations driven by subfractional Brownian motion at discrete time observation
- Estimates for norms of discrete stochastic integrals
- On sharp rate of convergence for discretization of integrals driven by fractional Brownian motions and related processes with discontinuous integrands
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