Author: Ari Nieminen

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AUTHOR

Ari Nieminen

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Fractional Brownian motion and Martingale-differences

2004

Abstract 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.

Statistics and ProbabilityGeometric Brownian motionFractional Brownian motionMathematics::ProbabilityDiffusion processReflected Brownian motionMathematical analysisBrownian excursionStatistics Probability and UncertaintyHeavy traffic approximationMartingale (probability theory)Martingale representation theoremMathematicsStatistics & Probability Letters

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