The distance between fractional Brownian motion and the subspace of martingales with “similar” kernels

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

zbMATH Keywords

Wiener processfractional Brownian motionGaussian martingale

Mathematics Subject Classification ID

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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