Approximation of fractional Brownian motion by Wiener integrals
Анотація
We find an approximation in the space $L_\infty ([0,T];L_2(\Omega ))$ of a fractional Brownian motion by martingales of the form $\int _0^ta(s) dW_s$, where $W$ is a Wiener process, $a(s)$ is a power function with a negative index, that is $a(s)=k\cdot s^{-\alpha }$ where $k>0$, $\alpha =H-1/2$, and $H$ is the index of fractional Brownian motion.
Класифікація
Ідентифікатори
Рецензії (0)
Написати рецензіюРецензій ще немає. Будьте першим!
Схожі роботи
On a Brownian motion with a hard membrane
Схоже за: Stochastic processes and financial applications · advanced mathematical theories · Stochastic processes and statistical mechanics
Properties of Gaussian local times
Схоже за: Stochastic processes and financial applications · advanced mathematical theories · Stochastic processes and statistical mechanics
Averaging principle for the heat equation driven by a general stochastic measure
Схоже за: Stochastic processes and financial applications · advanced mathematical theories · Stochastic processes and statistical mechanics
Perpetual integral functionals of multidimensional stochastic processes
Схоже за: Stochastic processes and financial applications · advanced mathematical theories · Stochastic processes and statistical mechanics
Pseudodifferential Equation of Fluctuations of Nonstationary Gravitational Fields
Схоже за: Stochastic processes and financial applications · advanced mathematical theories · Stochastic processes and statistical mechanics
On recurrence and transience of some Lévy-type processes in ℝ
Схоже за: Stochastic processes and financial applications · advanced mathematical theories · Stochastic processes and statistical mechanics