Approximation of a Wiener process by integrals with respect to the fractional Brownian motion of power functions of a given exponent
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Publication:2944728
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
Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)
Related Items (1)
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
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- Mixed Brownian–fractional Brownian model: absence of arbitrage and related topics
- Approximation of fractional Brownian motion by Wiener integrals
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