Discrete approximation of stochastic integrals with respect to fractional Brownian motion of Hurst indexH>1/2
Author:
Affiliation:
1. a Department of Mathematics , LMU , Theresienstr. 39, D-80333, Munich, Germany
2. b Department of Mathematics , University of Bologna , Piazza di Porta S. Donato, 5, I-40127, Bologna, Italy
Publisher
Informa UK Limited
Subject
Modeling and Simulation,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/17442500701594672
Reference28 articles.
1. STOCHASTIC STRATONOVICH CALCULUS fBm FOR FRACTIONAL BROWNIAN MOTION WITH HURST PARAMETER LESS THAN 1/2
2. Stochastic Calculus with Respect to Gaussian Processes
3. Stochastic integration with respect to the fractional Brownian motion
4. T.O. Androshchuk and Y.S. Mishura, The sequence of semimartingales that converges to the process of capital in a mixed Brownian-fractional Brownian model, Preprint University of Kiev, 2005
Cited by 1 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Rate of Convergence for Discretization of Integrals with Respect to Fractional Brownian Motion;Journal of Theoretical Probability;2013-05-14
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