Fractional Brownian motion. Approximations and projections

zbMATH Open1506.60001MaRDI QIDQ5088086FDOQ5088086

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

Publication date: 4 July 2022

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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)

Cited In (21)

• Title not available (Why is that?)
• Distance of fractional Brownian motion to the subspaces of Gaussian martingales
• Fractional Brownian motion: theory and applications
• Gaussian processes with Volterra kernels
• A bound for the distance between fractional Brownian motion and the space of Gaussian martingales on an interval
• Selected aspects of fractional Brownian motion.
• On the approximate discrete KLT of fractional Brownian motion and applications
• Convexity and robustness of the Rényi entropy
• Editorial
• Projection estimators of the stationary density of a differential equation driven by the fractional Brownian motion
• Anomalous diffusion: fractional Brownian motion vs fractional Ito motion
• Approximations of fractional Brownian motion
• Hyers-Ulam-Rassias stability results for some nonlinear fractional integral equations using the Bielecki metric
• Entropy and alternative entropy functionals of fractional Gaussian noise as the functions of Hurst index
• Approximation of fractional Brownian motion by martingales
• A Unified Convergence Analysis for the Fractional Diffusion Equation Driven by Fractional Gaussian Noise with Hurst Index $H\in(0,1)$
• 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
• Power Brownian motion: an Ornstein-Uhlenbeck lookout
• Title not available (Why is that?)
• The simplest martingales of the best approximation of fractional Brownian motion
• Distributions of quadratic functionals of the fractional Brownian motion based on a martingale approximation

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