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Approximation of fractional brownian motion with associated hurst index separated from 1 by stochastic integrals of linear power functions
Oksana Banna, Yuliya Mishura Department of Probability Theory and Mathematical Statistics, Kyiv National Taras Shevchenko University, Kyiv, Ukraine
Аннотация:
In this article we present the best uniform approximation of the fractional Brownian motion in space $ L_\infty([0, T]; L_2 (\Omega))$ by martingales
of the following type $\int^t_0a(s)dW_s,$ where $W$ is a Wiener process,$a$ is a function defined by $a(s)=k_1+k_2s^\alpha, k_1,k_2\in{\mathbb R}, s\in[0, T],$
$\alpha=H-1/2,$ $H$ is the Hurst index, separated from 1, associated
with the fractional Brownian motion.
Ключевые слова:
Fractional Brownian motion, Wiener integral, approximation.
Образец цитирования:
Oksana Banna, Yuliya Mishura, “Approximation of fractional brownian motion with associated hurst index separated from 1 by stochastic integrals of linear power functions”, Theory Stoch. Process., 14(30):3 (2008), 1–16
Образцы ссылок на эту страницу:
https://www.mathnet.ru/rus/thsp209 https://www.mathnet.ru/rus/thsp/v14/i3/p1
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Страница аннотации: | 69 | PDF полного текста: | 35 | Список литературы: | 16 |
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