scispace - formally typeset
Open AccessJournal ArticleDOI

Approximation of Fractional Brownian Motion by Martingales

Reads0
Chats0
TLDR
In this paper, the authors studied the problem of optimal approximation of a fractional Brownian motion by martingales and proved that there exists a unique martingale closest to fractional brownian motion in a specific sense.
Abstract
We study the problem of optimal approximation of a fractional Brownian motion by martingales. We prove that there exists a unique martingale closest to fractional Brownian motion in a specific sense. It shown that this martingale has a specific form. Numerical results concerning the approximation problem are given.

read more

Citations
More filters
Journal ArticleDOI

Approximation of the Rosenblatt process by semimartingales

TL;DR: In this article, the optimal approximation of a Rosenblatt process based on semimartingales of the form where (y1, y2)↦a(y 1, y 2) is a square integrable process and B is a standard Brownian motion was considered.
Posted Content

Weak convergence of path-dependent SDEs driven by fractional Brownian motion with irregular coefficients

TL;DR: In this article, Girsanov's transformation and the property of the corresponding reference stochastic differential equations were used to investigate weak existence and uniqueness of solutions and weak convergence of Euler-Maruyama scheme to stochastically functional differential equations with Holder continuous drift driven by fractional Brownian motion with Hurst index.
Journal ArticleDOI

Approximation of Fractional Brownian Sheet By Wiener Integral

TL;DR: In this article, an approximation of the fractional Brownian sheet by two-parameter wiener integral was considered and it was shown that there exists an unique two parameter Wiener integral closest to the FBS.
Journal ArticleDOI

Distance from fractional Brownian motion with associated Hurst index 0<H<1/2 to the subspaces of Gaussian martingales involving power integrands with an arbitrary positive exponent

TL;DR: In this article, the best approximation of the fractional Brownian motion with the Hurst index was found by Gaussian martingales of the form ∆ ∆ + ∆ − ∆, where ∆ is a Wiener process, ∆ > 0.
References
More filters
Book

Convex analysis and minimization algorithms

TL;DR: In this article, the cutting plane algorithm is used to construct approximate subdifferentials of convex functions, and the inner construction of the subdifferential is performed by a dual form of Bundle Methods.
Book

Stochastic Calculus for Fractional Brownian Motion and Related Processes

TL;DR: In this paper, the authors integrate Wiener Integration with respect to Fractional Brownian Motion (fBm) and Statistical Inference with FBm with the objective of statistical inference.
Journal ArticleDOI

An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions

TL;DR: The Radon-Nikodym derivative between a centred fractional Brownian motion Z and the same process with constant drift is derived by finding an integral transformation which changes Z to a process with independent increments as discussed by the authors.
Journal ArticleDOI

Wavelets, Generalized White Noise and Fractional Integration: The Synthesis of Fractional Brownian Motion.

TL;DR: In this paper, an almost sure convergent expansion of fractional Brownian motion in wavelets is presented, which decorrelates the high frequencies of the high frequency corrections of the wavelet expansion.
Journal ArticleDOI

A series expansion of fractional Brownian motion

TL;DR: This paper proves the series representation where X1,X2,... and Y1,Y2,... are independent, Gaussian random variables with mean zero and and the constant cH2 is defined by cHH2=π−1Γ(1+2H) sin πH.
Related Papers (5)