Discrete approximation of stochastic integrals with respect to fractional Brownian motion of Hurst indexH>1/2

DOI10.1080/17442500701594672zbMath1155.60014OpenAlexW2030184595MaRDI QIDQ3541200

Francesca Biagini, Massimo Campanino, Serena Fuschini

Publication date: 25 November 2008

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442500701594672

zbMATH Keywords

Fractional Brownian motionstochastic integralMalliavin derivativedivergence operator

Mathematics Subject Classification ID

Gaussian processes (60G15) White noise theory (60H40) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Self-similar stochastic processes (60G18)

Related Items (2)

Analysis of the Rosenblatt process ⋮ Rate of convergence for discretization of integrals with respect to fractional Brownian motion

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