Approximation of random variables by functionals of the increments of a fractional Brownian motion

DOI10.1090/S0094-9000-2014-00913-8zbMath1310.60038MaRDI QIDQ2923394

T. O. Shalaiko, Georgiy M. Shevchenko

Publication date: 15 October 2014

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

zbMATH Keywords

fractional Brownian motionapproximation of random variablesItō-Wiener expansion

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (1)

The maximum rate of convergence for the approximation of the fractional Lévy area at a single point

Cites Work

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• A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion
• Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion
• Optimal pointwise approximation of stochastic differential equations driven by fractional Brownian motion
• ON SPECTRAL SIMULATION OF FRACTIONAL BROWNIAN MOTION
• The rate of convergence for Euler approximations of solutions of stochastic differential equations driven by fractional Brownian motion
• Stochastic Calculus for Fractional Brownian Motion and Applications

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