Approximation Of Fractional Brownian Motion By Martingales
Year:
2012Published in:
Methodology and Computing in Applied ProbabilityWe 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.
Related by author
80 publications found
Wave Equation With A Coloured Stable Noise
Publisher: Random Operators and Stochastic Equations
Authors: Georgiy Shevchenko, Larysa Pryhara
Approximations For A Solution To Stochastic Heat Equation With Stable Noise
Publisher: Modern Stochastics: Theory and Applications
Authors: Georgiy Shevchenko, Larysa Pryhara
Fractional And Multifractional Models In Finance
Publisher: Taras Shevchenko National University of Kyiv
Authors: Georgiy Shevchenko
Modern Stochastics And Applications
Publisher: Springer Cham
Authors: Georgiy Shevchenko, Volodymyr Korolyuk, Nikolaos Limnios, Yulia Mishura, Lyudmyla Sakhno
The Harmonic Mean Formula For Random Processes
Publisher: Stochastic Analysis and Applications
Authors: Georgiy Shevchenko, Enkelejd Hashorva, Krzysztof Bisewski
On The Distribution Of Integral Functionals Of A Homogeneous Diffusion Process
Publisher: Bocconi & Springer Series
Authors: Georgiy Shevchenko, M. Perestyuk, Yulia Mishura
Anatolii Volodymyrovych Skorokhod (1930–2011)
Publisher: Stochastic Processes and their Applications
Authors: Georgiy Shevchenko, Volodymyr Korolyuk, Yuriy Kozachenko, Yulia Mishura, Halyna Syta
Approximation Of Random Variables By Functionals Of The Increments Of A Fractional Brownian Motion
Publisher: Theory of Probability and Mathematical Statistics
Authors: Georgiy Shevchenko, Taras Shalaiko
Stochastic Selection Problem For A Stratonovich Sde With Power Non‑Linearity
Publisher: Bernoulli
Authors: Georgiy Shevchenko, Ilya Pavlyukevich
Linear Equations And Stochastic Exponents In A Hilbert Space
Publisher: Theory of Probability and Mathematical Statistics
Authors: Georgiy Shevchenko, Yulia Mishura