Approximation of fractional Brownian motion by martingales

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

zbMATH Keywords

fractional Brownian motion; convex functional; martingale approximation

Mathematics Subject Classification ID

60G22: Fractional processes, including fractional Brownian motion

90C25: Convex programming

60G44: Martingales with continuous parameter

Related Items

Approximation of fractional Brownian sheet by Wiener integral, Approximation of the Rosenblatt process by semimartingales, Weak convergence of SFDEs driven by fractional Brownian motion with irregular coefficients, Distance between the fractional Brownian motion and the space of adapted Gaussian martingales, 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 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

Cites Work

• Semimartingale approximation of fractional Brownian motion and its applications
• Approximations of fractional Brownian motion
• A series expansion of fractional Brownian motion
• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• Wavelets, generalized white noise and fractional integration: The synthesis of fractional Brownian motion
• Partially observable linear systems under dependent noises
• Stochastic calculus for fractional Brownian motion and related processes.
• A simple construction of the fractional Brownian motion.
• Approximation of solutions of stochastic differential equations with fractional Brownian motion by solutions of random ordinary differential equations
• Mixed Brownian–fractional Brownian model: absence of arbitrage and related topics
• Weak approximation for a class of Gaussian processes
• Approximation of fractional Brownian motion by Wiener integrals