Approximation of a Wiener process by integrals with respect to the fractional Brownian motion of power functions of a given exponent

DOI10.1090/tpms/946zbMath1326.60076OpenAlexW1458695360MaRDI QIDQ2944728

Oksana Banna, Sergiy Shklyar, Yuliya S. Mishura

Publication date: 8 September 2015

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

Full work available at URL: https://doi.org/10.1090/tpms/946

zbMATH Keywords

Wiener processfractional Brownian motionapproximationstochastic integrals

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

Related Items (1)

Distance between the fractional Brownian motion and the space of adapted Gaussian martingales

Cites Work

• Approximation of fractional Brownian motion by martingales
• Filtering and parameter estimation in a simple linear system driven by a fractional Brownian motion
• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• A note on fractional Brownian motion
• Stochastic calculus for fractional Brownian motion and related processes.
• A bound for the distance between fractional Brownian motion and the space of Gaussian martingales on an interval
• The distance between fractional Brownian motion and the subspace of martingales with “similar” kernels
• Mixed Brownian–fractional Brownian model: absence of arbitrage and related topics
• Approximation of fractional Brownian motion by Wiener integrals
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