Publications Meetings The Profession Membership Programs Math Samplings Policy & Advocacy In the News About the AMS

Remote Access
Theory of Probability and Mathematical Statistics
Theory of Probability and Mathematical Statistics
ISSN 1547-7363(online) ISSN 0094-9000(print)



Approximation of multifractional Brownian motion by absolutely continuous processes

Author: K. V. Ral’chenko
Translated by: N. Semenov
Original publication: Teoriya Imovirnostei ta Matematichna Statistika, tom 82 (2010).
Journal: Theor. Probability and Math. Statist. 82 (2011), 115-127
MSC (2010): Primary 60G15; Secondary 60H10, 65C30
Published electronically: August 4, 2011
MathSciNet review: 2790487
Full-text PDF

Abstract | References | Similar Articles | Additional Information

Abstract: We consider absolutely continuous stochastic processes that converge to multifractional Brownian motion in Besov-type spaces. We prove that solutions of stochastic differential equations with these processes converge to the solution of the equation with multifractional Brownian motion.

References [Enhancements On Off] (What's this?)

Similar Articles

Retrieve articles in Theory of Probability and Mathematical Statistics with MSC (2010): 60G15, 60H10, 65C30

Retrieve articles in all journals with MSC (2010): 60G15, 60H10, 65C30

Additional Information

K. V. Ral’chenko
Affiliation: Department of Probability Theory, Statistics, and Actuarial Mathematics, Faculty for Mechanics and Mathematics, National Taras Shevchenko University, Academician Glushkov Avenue 2, Kiev 03127, Ukraine

Keywords: Gaussian process, fractional Brownian motion, multifractional Brownian motion, stochastic differential equation, Young integral
Received by editor(s): December 8, 2009
Published electronically: August 4, 2011
Additional Notes: The first author is indebted to the European Commission for support in the framework of the “Marie Curie Actions” program, grant PIRSES-GA-2008-230804
Article copyright: © Copyright 2011 American Mathematical Society

Comments: Email Webmaster

© Copyright , American Mathematical Society
Contact Us · Sitemap · Privacy Statement

Connect with us Facebook Twitter Google+ LinkedIn Instagram RSS feeds Blogs YouTube Podcasts Wikipedia