Approximation of fractional Brownian motion by martingales

DOI10.1007/s11009-012-9313-8zbMath1312.60043arXiv1205.4559OpenAlexW2038836340MaRDI QIDQ479168

Oksana Banna, Vadym Doroshenko, Sergiy Shklyar, Yuliya S. Mishura, Georgiy M. Shevchenko

Publication date: 5 December 2014

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1205.4559

zbMATH Keywords

fractional Brownian motionconvex functionalmartingale approximation

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Convex programming (90C25) Martingales with continuous parameter (60G44)

Related Items

The distance between fractional Brownian motion and the subspace of martingales with “similar” kernels ⋮ Approximation of a Wiener process by integrals with respect to the fractional Brownian motion of power functions of a given exponent ⋮ 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 ⋮ Approximation of fractional Brownian sheet by Wiener integral ⋮ Approximation of the Rosenblatt process by semimartingales ⋮ Distance between the fractional Brownian motion and the space of adapted Gaussian martingales ⋮ Weak convergence of SFDEs driven by fractional Brownian motion with irregular coefficients

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