The distance between fractional Brownian motion and the subspace of martingales with “similar” kernels
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Publication:2923381
DOI10.1090/S0094-9000-2014-00903-5zbMATH Open1307.60038OpenAlexW2062461052MaRDI QIDQ2923381
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Publication date: 15 October 2014
Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1090/s0094-9000-2014-00903-5
Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Martingales with continuous parameter (60G44)
Cites Work
- Approximation of fractional Brownian motion by martingales
- An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
- Approximation of fractional Brownian motion by Wiener integrals
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Related Items (4)
Approximation of a Wiener process by integrals with respect to the fractional Brownian motion of power functions of a given exponent ⋮ A remark on the mean square distance between the solutions of fractional SDEs and Brownian SDEs ⋮ On the distance between 〈X 〉 and L∞in the space of continuous BMO-martingales ⋮ Distance between the fractional Brownian motion and the space of adapted Gaussian martingales
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