Fractional Brownian motion and martingale-differences

DOI10.1016/J.SPL.2004.01.012MaRDI QIDQ868264zbMATH OpenOpenAlexFDO

Authors Ari Nieminen

Publication date 2 March 2007

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2004.01.012

zbMATH Keywords

weak convergencefractional Brownian motionmartingale-differences

Mathematics Subject Classification ID

Gaussian processes (60G15) Martingales with continuous parameter (60G44) Self-similar stochastic processes (60G18)

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Cites work

• scientific article; zbMATH DE number 3852087 (Why is no real title available?)
• scientific article; zbMATH DE number 822726 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• Fractional Brownian motion, random walks and binary market models
• Stochastic analysis of the fractional Brownian motion

Cited in

(29)

• On weak approximations of integrals with respect to fractional Brownian motion
• Stochastic heat equation and martingale differences
• A weak convergence to Hermite process by martingale differences
• Weak and strong discrete-time approximation of fractional SDEs
• An approximation to the subfractional Brownian sheet using martingale differences
• Weak convergence to the fractional Brownian sheet using martingale differences
• Conditional expectations and martingales in the fractional Brownian field
• Distributions of quadratic functionals of the fractional Brownian motion based on a martingale approximation
• Operator Fractional Brownian Sheet and Martingale Differences
• A fractional Donsker theorem
• scientific article; zbMATH DE number 48952 (Why is no real title available?)
• Fractional Brownian motion, random walks and binary market models
• Fractional Brownian fields, duality, and martingales
• Fractional martingales and characterization of the fractional Brownian motion
• Approximation of the Rosenblatt sheet
• An extension of the Lévy characterization to fractional Brownian motion
• Fractional Brownian sheet and martingale difference random fields
• Donsker Type Theorem for the Rosenblatt Process and a Binary Market Model
• Functional central limit theorems for rough volatility
• Some long-range dependence processes arising from fluctuations of particle systems
• The distance between fractional Brownian motion and the subspace of martingales with ``similar kernels
• Approximation of fractional Brownian sheet by Wiener integral
• Approximating a geometric fractional Brownian motion and related processes via discrete Wick calculus
• An approximation of subfractional Brownian motion
• A note on fractional Brownian motion
• Operator fractional Brownian motion and martingale differences
• Weak convergence of the complex fractional Brownian motion
• Approximation of fractional Brownian motion by martingales
• Distance of fractional Brownian motion to the subspaces of Gaussian martingales

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