Approximation of fractional Brownian motion having Hurst index close to one with stochastic integrals from linear-exponential integrand functions

zbMATH Open1164.60412MaRDI QIDQ3607760FDOQ3607760

Authors: O. L. Banna 

Publication date: 28 February 2009

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zbMATH Keywords

fractional Brownian motionbest uniform approximation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Brownian motion (60J65)

Cited In (9)

• Approximation of a Wiener process by integrals with respect to the fractional Brownian motion of power functions of a given exponent
• Distance of fractional Brownian motion to the subspaces of Gaussian martingales
• 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
• Strong approximation for fractional wave equation forced by fractional Brownian motion with Hurst parameter \(H \in ( 0 , \frac{1}{2} )\)
• 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
• \(L^p\) uniform random walk-type approximation for fractional Brownian motion with Hurst exponent \(0 < H < \frac{1}{2} \)
• The simplest martingales of the best approximation of fractional Brownian motion
• Approximation of fractional Brownian motion with associated Hurst index separated from 1 by stochastic integrals of linear power functions

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