Approximation of Fractional Brownian Motion by Martingales

被引：0
作者：
Sergiy Shklyar
Georgiy Shevchenko
Yuliya Mishura
Vadym Doroshenko
Oksana Banna
机构：
[1] Kyiv National Taras Shevchenko University,Faculty of Mechanics and Mathematics
[2] Kyiv National Taras Shevchenko University,Economics Faculty
来源：
Methodology and Computing in Applied Probability | 2014年 / 16卷
关键词：
Fractional Brownian motion; Martingale; Approximation; Convex functional; 60G22; 60G44; 90C25;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
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.
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页码：539 / 560
页数：21
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