Fractional Brownian motion and Martingale-differences

6533b85dfe1ef96bd12be65c

RESEARCH PRODUCT

Fractional Brownian motion and Martingale-differences

subject

Statistics and Probability Geometric Brownian motion Fractional Brownian motion Mathematics::Probability Diffusion process Reflected Brownian motion Mathematical analysis Brownian excursion Statistics Probability and Uncertainty Heavy traffic approximation Martingale (probability theory)Martingale representation theorem Mathematics

description

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.

year	journal	country	edition	language
2004-10-01	Statistics & Probability Letters

https://doi.org/10.1016/j.spl.2004.01.012

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