Approximation of a stochastic integral with respect to fractional Brownian motion by integrals with respect to absolutely continuous processes
Author:
T. O. Androshchuk
Translated by:
V. V. Semenov
Original publication:
Teoriya Imovirnostei ta Matematichna Statistika, tom 73 (2005).
Journal:
Theor. Probability and Math. Statist. 73 (2006), 1929
MSC (2000):
Primary 60H05; Secondary 60G15
Published electronically:
January 17, 2007
MathSciNet review:
2213333
Fulltext PDF Free Access
Abstract 
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Additional Information
Abstract: We consider an absolutely continuous process converging in the mean square sense to a fractional Brownian motion. We obtain sufficient conditions that the integral with respect to this process converges to the integral with respect to the fractional Brownian motion.
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Additional Information
T. O. Androshchuk
Affiliation:
Department of Probability Theory and Mathematical Statistics, Faculty for Mathematics and Mechanics, National Taras Shevchenko University, Academician Glushkov Avenue 6, Kyiv 03127, Ukraine
Email:
nutaras@univ.kiev.ua
DOI:
http://dx.doi.org/10.1090/S0094900007006783
PII:
S 00949000(07)006783
Keywords:
Fractional Brownian motion,
stochastic integral,
convergence of integrals
Received by editor(s):
October 11, 2004
Published electronically:
January 17, 2007
Article copyright:
© Copyright 2007 American Mathematical Society
