Approximation of fractional Brownian motion by martingales
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Publication:479168
DOI10.1007/s11009-012-9313-8zbMath1312.60043arXiv1205.4559MaRDI 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
60G22: Fractional processes, including fractional Brownian motion
90C25: Convex programming
60G44: Martingales with continuous parameter
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