Approximation of a Wiener process by integrals with respect to the fractional Brownian motion of power functions of a given exponent
DOI10.1090/TPMS/946zbMATH Open1326.60076OpenAlexW1458695360MaRDI QIDQ2944728FDOQ2944728
Authors: O. L. Banna, S. V. 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
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Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)
Cites Work
- Stochastic calculus for fractional Brownian motion and related processes.
- An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
- Mixed Brownian–fractional Brownian model: absence of arbitrage and related topics
- Filtering and parameter estimation in a simple linear system driven by a fractional Brownian motion
- Title not available (Why is that?)
- Approximation of fractional Brownian motion by martingales
- Approximation of fractional Brownian motion by Wiener integrals
- A note on fractional Brownian motion
- Approximation of fractional Brownian motion with associated Hurst index separated from 1 by stochastic integrals of linear power functions
- A bound for the distance between fractional Brownian motion and the space of Gaussian martingales on an interval
- Distance of fractional Brownian motion to the subspaces of Gaussian martingales
- The simplest martingales of the best approximation of fractional Brownian motion
- The distance between fractional Brownian motion and the subspace of martingales with ``similar kernels
Cited In (11)
- Fractional Brownian motion. Approximations and projections
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- Distance between the fractional Brownian motion and the space of adapted Gaussian martingales
- Approximating the Rosenblatt process by multiple Wiener integrals
- Approximation of fractional Brownian motion by Wiener integrals
- Approximation of fractional Brownian motion having Hurst index close to one with stochastic integrals from linear-exponential integrand functions
- Approximation of distribution function of additive functional of Wiener process by segment of Chebyshev series
- 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
- The simplest martingales of the best approximation of fractional Brownian motion
- Approximation of fractional Brownian sheet by Wiener integral
- Approximation of fractional Brownian motion with associated Hurst index separated from 1 by stochastic integrals of linear power functions
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