A bound for the distance between fractional Brownian motion and the space of Gaussian martingales on an interval

DOI10.1090/S0094-9000-2012-00838-7zbMath1243.60034MaRDI QIDQ2890715

Oksana Banna, Yuliya S. Mishura

Publication date: 11 June 2012

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

zbMATH Keywords

Wiener processfractional Brownian motionGaussian martingaleapproximation in a class of functions

Mathematics Subject Classification ID

Gaussian processes (60G15) Inequalities; stochastic orderings (60E15) Fractional processes, including fractional Brownian motion (60G22) Martingales with continuous parameter (60G44)

Related Items (3)

Approximation of a Wiener process by integrals with respect to the fractional Brownian motion of power functions of a given exponent ⋮ 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 ⋮ Distance between the fractional Brownian motion and the space of adapted Gaussian martingales

Cites Work

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• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• A note on fractional Brownian motion
• Mixed Brownian–fractional Brownian model: absence of arbitrage and related topics
• Approximation of fractional Brownian motion by Wiener integrals

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