Distance from fractional Brownian motion with associated Hurst index <math xmlns="http://www.w3.org/1998/Math/MathML"><mn>0</mn><mo mathvariant="normal"><</mo><mi mathvariant="italic">H</mi><mo mathvariant="normal"><</mo><mn>1</mn><mo mathvariant="normal" stretchy="false">/</mo><mn>2</mn></math> to the subspaces of Gaussian martingales involving power integrands with an arbitrary positive exponent-Reference-Cited by-同舟云学术

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Distance from fractional Brownian motion with associated Hurst index $0 < H < 1 / 2$ to the subspaces of Gaussian martingales involving power integrands with an arbitrary positive exponent

Published:2020 Issue: Volume: Page:191-202
ISSN:2351-6046
Container-title:Modern Stochastics: Theory and Applications
language:en
Short-container-title:

Author:

Banna Oksana^ORCID,Buryak Filipp,Mishura Yuliya^ORCID

Publisher

VTeX

Subject

Statistics, Probability and Uncertainty,Modelling and Simulation,Statistics and Probability

Reference12 articles.

1. Approximation the integrals with respect to fBm by the integrals with respect to absolutely continuous processes;Theory Probab. Math. Stat.,2005

2. Mixed Brownian–fractional Brownian model: absence of arbitrage and related topics;Stoch. Int. J. Probab. Stoch. Process.,2006

3. Approximation of fractional Brownian motion with associated Hurst index separated from 1 by stochastic integrals of linear power functions;Theory Stoch. Process.,2008

4. Estimation of the distance between fractional Brownian motion and the space of Gaussian martingales on a segment;Theory Probab. Math. Stat.,2010

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. Convexity and robustness of the Rényi entropy;Modern Stochastics: Theory and Applications;2021

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