The simplest martingales of the best approximation of fractional Brownian motion

zbMATH Open1199.60132MaRDI QIDQ5325071FDOQ5325071

Authors: O. Banna, Yuliya S. Mishura 

Publication date: 8 August 2009

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zbMATH Keywords

martingalefractional Brownian motionbest approximation

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Martingales and classical analysis (60G46)

Cited In (8)

• Approximation of a Wiener process by integrals with respect to the fractional Brownian motion of power functions of a given exponent
• Stochastic regression in terms of Brownian motion
• Fractional Brownian motion. Approximations and projections
• A bound for the distance between fractional Brownian motion and the space of Gaussian martingales on an interval
• The distance between fractional Brownian motion and the subspace of martingales with ``similar kernels
• Distance between the fractional Brownian motion and the space of adapted Gaussian martingales
• On optimal uniform approximation of Lévy processes on Banach spaces with finite variation processes
• Approximation of fractional Brownian motion by martingales

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