Fractional Brownian motion and martingale-differences

被引：21

作者：

Nieminen, A ^{[1
]}

机构：

[1] Univ Jyvaskyla, Dept Math & Stat, FIN-40351 Jyvaskyla, Finland

来源：

STATISTICS & PROBABILITY LETTERS | 2004年 / 70卷 / 01期

关键词：

fractional Brownian motion; martingale-difference; weak convergence;

D O I：

10.1016/j.spl.2004.01.012

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We generalize a result of Sottinen (Finance Stochastics 5 (2001) 343) by proving an approximation theorem for the fractional Brownian motion, with H > (1)/(2), using martingale-differences. (C) 2004 Published by Elsevier B.V.

引用

页码：1 / 10

页数：10

共 6 条

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