Fractional Brownian motion. Approximations and projections

MaRDI QIDQ5088086zbMATH OpenFDO

Authors O. L. Banna, K. V. Ral'chenko, S. V. Shklyar, Yuliya S. Mishura

Publication date 4 July 2022

zbMATH Keywords

projectionfractional Brownian motionapproximation

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01)

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Cited in

(21)

• Gaussian processes with Volterra kernels
• Fractional Brownian motion: theory and applications
• Approximations of fractional Brownian motion
• A bound for the distance between fractional Brownian motion and the space of Gaussian martingales on an interval
• scientific article; zbMATH DE number 1944303 (Why is no real title available?)
• Power Brownian motion: an Ornstein-Uhlenbeck lookout
• Distributions of quadratic functionals of the fractional Brownian motion based on a martingale approximation
• 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
• Projection estimators of the stationary density of a differential equation driven by the fractional Brownian motion
• Hyers-Ulam-Rassias stability results for some nonlinear fractional integral equations using the Bielecki metric
• On the approximate discrete KLT of fractional Brownian motion and applications
• Selected aspects of fractional Brownian motion.
• A Unified Convergence Analysis for the Fractional Diffusion Equation Driven by Fractional Gaussian Noise with Hurst Index $H\in(0,1)$
• scientific article; zbMATH DE number 1834320 (Why is no real title available?)
• Convexity and robustness of the Rényi entropy
• Anomalous diffusion: fractional Brownian motion vs fractional Ito motion
• The simplest martingales of the best approximation of fractional Brownian motion
• Approximation of fractional Brownian motion by martingales
• Editorial
• Distance of fractional Brownian motion to the subspaces of Gaussian martingales
• Entropy and alternative entropy functionals of fractional Gaussian noise as the functions of Hurst index

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