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

DOI10.1090/TPMS/946MaRDI QIDQ2944728zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 5159218 (Why is no real title available?)
• A bound for the distance between fractional Brownian motion and the space of Gaussian martingales on an interval
• A note on fractional Brownian motion
• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• Approximation of fractional Brownian motion by Wiener integrals
• Approximation of fractional Brownian motion by martingales
• Approximation of fractional Brownian motion with associated Hurst index separated from 1 by stochastic integrals of linear power functions
• Distance of fractional Brownian motion to the subspaces of Gaussian martingales
• Filtering and parameter estimation in a simple linear system driven by a fractional Brownian motion
• Mixed Brownian–fractional Brownian model: absence of arbitrage and related topics
• Stochastic calculus for fractional Brownian motion and related processes.
• The distance between fractional Brownian motion and the subspace of martingales with ``similar kernels
• The simplest martingales of the best approximation of fractional Brownian motion

Cited in

(11)

• Fractional Brownian motion. Approximations and projections
• scientific article; zbMATH DE number 5026323 (Why is no real title available?)
• 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 distribution function of additive functional of Wiener process by segment of Chebyshev series
• Approximation of fractional Brownian motion having Hurst index close to one with stochastic integrals from linear-exponential integrand functions
• 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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