Distance from fractional Brownian motion with associated Hurst index \(0

DOI10.15559/20-VMSTA156zbMath1468.60046arXiv2006.14821MaRDI QIDQ2209742

Filipp Buryak, Oksana Banna, Yuliya S. Mishura

Publication date: 4 November 2020

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2006.14821

zbMATH Keywords

fractional Brownian motionmartingale approximation

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22)

Related Items (1)

Convexity and robustness of the Rényi entropy

Cites Work

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• Approximation of fractional Brownian motion by martingales
• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• A note on fractional Brownian motion
• A bound for the distance between fractional Brownian motion and the space of Gaussian martingales on an interval
• Mixed Brownian–fractional Brownian model: absence of arbitrage and related topics
• Volatility is rough
• Approximation of fractional Brownian motion by Wiener integrals

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