NDLI: Approximation of Fractional Brownian Motion by Martingales

Content Provider	Springer Nature Link
Author	Shevchenko, Georgiy Shklyar, Sergiy Mishura, Yuliya Doroshenko, Vadym Banna, Oksana
Copyright Year	2012
Abstract	We study the problem of optimal approximation of a fractional Brownian motion by martingales. We prove that there exists a unique martingale closest to fractional Brownian motion in a specific sense. It shown that this martingale has a specific form. Numerical results concerning the approximation problem are given.
Ending Page	560
Page Count	22
Starting Page	539
File Format	PDF
ISSN	13875841
e-ISSN	15737713
Journal	Methodology and Computing in Applied Probability
Issue Number	3
Volume Number	16
Language	English
Publisher	Springer US
Publisher Date	2012-11-29
Publisher Place	Boston
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	Life Sciences Approximation Fractional processes, including fractional Brownian motion Economics general Business/Management Science Martingale Convex functional Martingales with continuous parameter Fractional Brownian motion Convex programming Statistics Electrical Engineering
Content Type	Text
Resource Type	Article
Subject	Statistics and Probability

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Approximation of Fractional Brownian Motion by Martingales