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

DOI10.1090/S0094-9000-2012-00838-7zbMath1243.60034MaRDI QIDQ2890715

Oksana Banna, Yuliya S. Mishura

Publication date: 11 June 2012

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

zbMATH Keywords

Wiener process; fractional Brownian motion; Gaussian martingale; approximation in a class of functions

Mathematics Subject Classification ID

60G15: Gaussian processes

60E15: Inequalities; stochastic orderings

60G22: Fractional processes, including fractional Brownian motion

60G44: Martingales with continuous parameter

Related Items

Distance between the fractional Brownian motion and the space of adapted Gaussian martingales, 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, Approximation of a Wiener process by integrals with respect to the fractional Brownian motion of power functions of a given exponent

Cites Work

• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• A note on fractional Brownian motion
• Mixed Brownian–fractional Brownian model: absence of arbitrage and related topics
• Approximation of fractional Brownian motion by Wiener integrals
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