Convergence rate of an approximation to multiple integral of FBM

DOI10.1016/S0252-9602(10)60095-1zbMath1240.60224OpenAlexW1984327838MaRDI QIDQ551392

Baobin Wang, Yaozhong Hu

Publication date: 19 July 2011

Published in: Acta Mathematica Scientia. Series B. (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0252-9602(10)60095-1

zbMATH Keywords

fractional Brownian motionmultiple integralconvergence rateStratonovich integral

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Brownian motion (60J65) Stochastic integrals (60H05)

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