Journal article

Approximation Of Random Variables By Functionals Of The Increments Of A Fractional Brownian Motion

Year:

2013

Published in:

Theory of Probability and Mathematical Statistics

Authors:

Fractional Brownian motion

Itô–Wiener expansion

an accuracy of approximation

A lower estimate is given for the accuracy of approximation of random variables by functionals of the increments of a fractional Brownian motion with Hurst index H>1/2.

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