[图书][B] Fractional Brownian motion: approximations and projections
This monograph studies the relationships between fractional Brownian motion (fBm) and
other processes of more simple form. In particular, this book solves the problem of the …
other processes of more simple form. In particular, this book solves the problem of the …
Approximation of a Wiener process by integrals with respect to the fractional Brownian motion of power functions of a given exponent
The best uniform approximation of a Wiener process by integrals of the form\[\int _ {0}^{t} f (s)
dB_ {s}^{H}\] is established in the space $ L_ {\infty}([0, T]; L_ {2}(\Omega)) $, where $\{B …
dB_ {s}^{H}\] is established in the space $ L_ {\infty}([0, T]; L_ {2}(\Omega)) $, where $\{B …
Distance between the fractional Brownian motion and the space of adapted Gaussian martingales
We consider the distance between the fractional Brownian motion defined on the interval [0,
1] and the space of Gaussian martingales adapted to the same filtration. As the distance …
1] and the space of Gaussian martingales adapted to the same filtration. As the distance …