Approximation of a Wiener process by integrals with respect to the fractional Brownian motion of power functions of a given exponent
Authors:
O. L. Banna, Yu. S. Mishura and S. V. Shklyar
Translated by:
N. Semenov
Journal:
Theor. Probability and Math. Statist. 90 (2015), 13-22
MSC (2010):
Primary 60G15; Secondary 60G44
DOI:
https://doi.org/10.1090/tpms/946
Published electronically:
August 6, 2015
MathSciNet review:
3241857
Full-text PDF Free Access
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Additional Information
Abstract: The best uniform approximation of a Wiener process by integrals of the form \[ \int _{0}^{t}f(s) dB_{s}^{H}\] is established in the space $L_{\infty } ([0,T];L_{2} (\Omega ))$, where $\{ B_{t}^{H}, t\in [0, T]\}$ is the fractional Brownian motion with the Hurst index $H$ and $f(s)=k\cdot s^{\alpha }$, $s\in [0,T]$, for $k>0$ and $\alpha =H-1/2$.
References
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- O. L. Banna and Yu. S. Mishura, The simplest martingales for the approximation of the fractional Brownian motion, Visnyk Kyiv National Taras Shevchenko University. Mathematics and Mechanics 19 (2008), 38–43. (Ukrainian)
- O. L. Banna and Yu. S. Mīshura, A bound for the distance between fractional Brownian motion and the space of Gaussian martingales on an interval, Teor. Ĭmovīr. Mat. Stat. 83 (2010), 12–21 (Ukrainian, with English, Russian and Ukrainian summaries); English transl., Theory Probab. Math. Statist. 83 (2011), 13–25. MR 2768845, DOI https://doi.org/10.1090/S0094-9000-2012-00838-7
- V. Doroshenko, Yu. Mishura, and O. Banna, The distance between fractional Brownian motion and the subspace of martingales with “similar” kernels, Theory Probab. Math. Statist. 87 (2013), 41–49. Translation of Teor. Ǐmovīr. Mat. Stat. No. 87 (2012), 38–45. MR 3241445, DOI https://doi.org/10.1090/S0094-9000-2014-00903-5
- Yu. S. Mishura, O. L. Banna, and V. V. Doroshenko, The distance between the fractional Brownian motion and the subspace of Gaussian martingales, Visnyk Kyiv National Taras Shevchenko University. Mathematics and Mechanics 1 (2013), 53–60. (Ukrainian)
- Yu. S. Mīshura and O. L. Banna, Approximation of fractional Brownian motion by Wiener integrals, Teor. Ĭmovīr. Mat. Stat. 79 (2008), 96–104 (Ukrainian, with Ukrainian summary); English transl., Theory Probab. Math. Statist. 79 (2009), 107–116. MR 2494540, DOI https://doi.org/10.1090/S0094-9000-09-00773-X
- Taras Androshchuk and Yuliya Mishura, Mixed Brownian–fractional Brownian model: absence of arbitrage and related topics, Stochastics 78 (2006), no. 5, 281–300. MR 2270939, DOI https://doi.org/10.1080/17442500600859317
- Oksana Banna and Yuliya Mishura, Approximation of fractional Brownian motion with associated Hurst index separated from 1 by stochastic integrals of linear power functions, Theory Stoch. Process. 14 (2008), no. 3-4, 1–16. MR 2498600
- Alain Le Breton, Filtering and parameter estimation in a simple linear system driven by a fractional Brownian motion, Statist. Probab. Lett. 38 (1998), no. 3, 263–274. MR 1629915, DOI https://doi.org/10.1016/S0167-7152%2898%2900029-7
- Yuliya S. Mishura, Stochastic calculus for fractional Brownian motion and related processes, Lecture Notes in Mathematics, vol. 1929, Springer-Verlag, Berlin, 2008. MR 2378138
- Ilkka Norros, Esko Valkeila, and Jorma Virtamo, An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions, Bernoulli 5 (1999), no. 4, 571–587. MR 1704556, DOI https://doi.org/10.2307/3318691
- Sergiy Shklyar, Georgiy Shevchenko, Yuliya Mishura, Vadym Doroshenko, and Oksana Banna, Approximation of fractional Brownian motion by martingales, Methodol. Comput. Appl. Probab. 16 (2014), no. 3, 539–560. MR 3239808, DOI https://doi.org/10.1007/s11009-012-9313-8
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References
- T. O. Androshchuk, Approximation of a stochastic integral with respect to fractional Brownian motion by integrals with respect to absolutely continuous processes, Teor. Imovirnost. Matem. Statist. 73 (2005), 17–26; English transl. in Theor. Probability and Math. Statist. 73 (2006), 19–29. MR 2213333 (2006m:60072)
- O. L. Banna and Yu. S. Mishura, The simplest martingales for the approximation of the fractional Brownian motion, Visnyk Kyiv National Taras Shevchenko University. Mathematics and Mechanics 19 (2008), 38–43. (Ukrainian)
- O. L. Banna and Yu. S. Mishura, A bound for the distance between fractional Brownian motion and the space of Gaussian martingales on an interval, Teor. Imovirnost. Matem. Statist. 83 (2010), 12–21; English transl. in Theor. Probability and Math. Statist. 83 (2011), 13–25. MR 2768845 (2012c:60108)
- V. V. Doroshenko, Yu. S. Mishura, and O. L. Banna, The distance between fractional Brownian motion and the subspace of martingales with “similar” kernels, Teor. Imovirnost. Matem. Statist. 87 (2012), 38–45; English transl. in Theor. Probability and Math. Statist. 87 (2013), 41–49. MR 3241445
- Yu. S. Mishura, O. L. Banna, and V. V. Doroshenko, The distance between the fractional Brownian motion and the subspace of Gaussian martingales, Visnyk Kyiv National Taras Shevchenko University. Mathematics and Mechanics 1 (2013), 53–60. (Ukrainian)
- Yu. S. Mishura and O. L. Banna, Approximation of fractional Brownian motion by Wiener integrals, Teor. Imovirnost. Matem. Statist. 79 (2008), 106–115; English transl. in Theor. Probability and Math. Statist. 79 (2009), 107–116. MR 2494540 (2010b:60113)
- T. Androshchuk and Yu. S. Mishura, Mixed Brownian–fractional Brownian model: absence of arbitrage and related topics, Stochastics 78 (2006), 281–300. MR 2270939 (2007k:60198)
- O. Banna and Y. S. Mishura, Approximation of fractional Brownian motion with associated Hurst index separated from 1 by stochastic integrals of linear power functions, Theory Stoch. Process. 14(30) (2008), no. 3–4, 1–16. MR 2498600 (2010d:60099)
- A. Le Breton, Filtering and parameter estimation in a simple linear system driven by a fractional Brownian motion, Stat. Probab. Lett. 38 (1998), 263–274. MR 1629915 (99c:60088)
- Yu. Mishura, Stochastic calculus for fractional Brownian motion and related processes, Lecture Notes in Math., vol. 1929, Springer, Berlin, 2008. MR 2378138 (2008m:60064)
- I. Norros, E. Valkeila, and J. Virtamo, An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions, Bernoulli 5(4) (1999), 571–587. MR 1704556 (2000f:60053)
- S. Shklyar, G. Shevchenko, Yu. Mishura, V. Doroshenko, and O. Banna, Approximation of fractional Brownian motion by martingales, Methodol. Comput. Appl. Probab. 16 (2014), no. 3, 539–560. MR 3239808
- T. H. Thao, A note on fractional Brownian motion, Vietnam J. Math. 31 (2003), no. 3, 255–260. MR 2010525 (2004j:60081)
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Additional Information
O. L. Banna
Affiliation:
Department of Probability Theory, Statistics, and Actuarial Mathematics, Faculty for Mechanics and Mathematics, National Taras Shevchenko University, Volodymyrs’ka Street, 64, Kyiv 01601, Ukraine
Email:
bannaya@mail.univ.kiev.ua
Yu. S. Mishura
Affiliation:
Department of Probability Theory, Statistics, and Actuarial Mathematics, Faculty for Mechanics and Mathematics, National Taras Shevchenko University, Volodymyrs’ka Street, 64, Kyiv 01601, Ukraine
Email:
myus@univ.kiev.ua
S. V. Shklyar
Affiliation:
Department of Probability Theory, Statistics, and Actuarial Mathematics, Faculty for Mechanics and Mathematics, National Taras Shevchenko University, Volodymyrs’ka Street, 64, Kyiv 01601, Ukraine
Email:
shklyar@univ.kiev.ua
Keywords:
Wiener process,
fractional Brownian motion,
integral with respect to the fractional Brownian motion,
an approximation in a class of functions
Received by editor(s):
March 16, 2014
Published electronically:
August 6, 2015
Article copyright:
© Copyright 2015
American Mathematical Society