Distance between the fractional Brownian motion and the space of adapted Gaussian martingales

DOI10.15388/NA.2019.4.9zbMath1478.60113MaRDI QIDQ5225914

Sergiy Shklyar, Yuliya S. Mishura

Publication date: 29 July 2019

Published in: Nonlinear Analysis: Modelling and Control (Search for Journal in Brave)

zbMATH Keywords

fractional Brownian motionconvex programmingminimax approximationGaussian martingales

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Convex programming (90C25)

Cites Work

• Approximation of fractional Brownian motion by martingales
• Semimartingale approximation of fractional Brownian motion and its applications
• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• A bound for the distance between fractional Brownian motion and the space of Gaussian martingales on an interval
• The distance between fractional Brownian motion and the subspace of martingales with “similar” kernels
• Approximation of a Wiener process by integrals with respect to the fractional Brownian motion of power functions of a given exponent
• On the Convergence of Alternating Minimization for Convex Programming with Applications to Iteratively Reweighted Least Squares and Decomposition Schemes
• Finding the nearest point in A polytope
• Linear Problems for a Fractional Brownian Motion: Group Approach
• Maximum likelihood estimation for Gaussian process with nonlinear drift
• Algorithms - ESA 2003
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