Fractional Brownian motion and martingale-differences

DOI10.1016/J.SPL.2004.01.012zbMATH Open1121.60036OpenAlexW2037265560MaRDI QIDQ868264FDOQ868264

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

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zbMATH Keywords

weak convergencefractional Brownian motionmartingale-differences

Mathematics Subject Classification ID

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

Cites Work

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• Fractional Brownian motion, random walks and binary market models
• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
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• Stochastic analysis of the fractional Brownian motion

Cited In (29)

• Title not available (Why is that?)
• Functional central limit theorems for rough volatility
• Approximating a geometric fractional Brownian motion and related processes via discrete Wick calculus
• Distance of fractional Brownian motion to the subspaces of Gaussian martingales
• Fractional Brownian fields, duality, and martingales
• Donsker Type Theorem for the Rosenblatt Process and a Binary Market Model
• Fractional Brownian motion, random walks and binary market models
• Weak convergence of the complex fractional Brownian motion
• Operator Fractional Brownian Sheet and Martingale Differences
• 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
• Conditional expectations and martingales in the fractional Brownian field
• Approximation of the Rosenblatt sheet
• Fractional Brownian sheet and martingale difference random fields
• On weak approximations of integrals with respect to fractional Brownian motion
• Weak and strong discrete-time approximation of fractional SDEs
• A note on fractional Brownian motion
• Fractional martingales and characterization of the fractional Brownian motion
• A weak convergence to Hermite process by martingale differences
• Approximation of fractional Brownian motion by martingales
• Operator fractional Brownian motion and martingale differences
• An approximation of subfractional Brownian motion
• An extension of the Lévy characterization to fractional Brownian motion
• Stochastic heat equation and martingale differences
• An approximation to the subfractional Brownian sheet using martingale differences
• A fractional Donsker theorem
• Weak convergence to the fractional Brownian sheet using martingale differences
• Approximation of fractional Brownian sheet by Wiener integral
• Distributions of quadratic functionals of the fractional Brownian motion based on a martingale approximation

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