Approximation of fractional Brownian motion by martingales
Probability
2012-12-13 v1
Abstract
We study the problem of optimal approximation of a fractional Brownian motion by martingales. We prove that there exist a unique martingale closest to fractional Brownian motion in a specific sense. It shown that this martingale has a specific form. Numerical results concerning the approximation problem are given.
Cite
@article{arxiv.1205.4559,
title = {Approximation of fractional Brownian motion by martingales},
author = {Sergiy Shklyar and Georgiy Shevchenko and Yuliya Mishura and Vadym Doroshenko and Oksana Banna},
journal= {arXiv preprint arXiv:1205.4559},
year = {2012}
}