A bound for the distance between fractional Brownian motion and the space of Gaussian martingales on an interval
Анотація
We obtain a lower bound for the distance between fractional Brownian motion and the space of Gaussian martingales on an interval. The distances between fractional Brownian motion and some subspaces of Gaussian martingales are compared. The upper and lower bounds are obtained for the constant in the representation of a fractional Brownian motion in terms of the Wiener process.
Класифікація
Ідентифікатори
Рецензії (0)
Написати рецензіюРецензій ще немає. Будьте першим!
Схожі роботи
Rate of convergence of option prices by using the method of pseudomoments
Схоже за: Mathematical Dynamics and Fractals · Stochastic processes and financial applications · Financial Risk and Volatility Modeling
Strong Markov approximation of Lévy processes and their generalizations in a scheme of series
Схоже за: Mathematical Dynamics and Fractals · Stochastic processes and financial applications · Financial Risk and Volatility Modeling
The local asymptotic normality of a family of measures generated by solutions of stochastic differential equations with a small fractional Brownian motion
Схоже за: Mathematical Dynamics and Fractals · Stochastic processes and financial applications · Financial Risk and Volatility Modeling
Limit behavior of the prices of a barrier option in the Black–Scholes model with random drift and volatility
Схоже за: Mathematical Dynamics and Fractals · Stochastic processes and financial applications · Financial Risk and Volatility Modeling
Limit Theorems for Non-Linear Transformations of Random Fields
Схоже за: Mathematical Dynamics and Fractals · Stochastic processes and financial applications · Financial Risk and Volatility Modeling
Parametrix construction for certain Lévy-type processes
Схоже за: Mathematical Dynamics and Fractals · Stochastic processes and financial applications