Operator Fractional Brownian Motion and Martingale Differences
Probability
2013-12-10 v1
Abstract
It is well known that martingale difference sequences are very useful in applications and theory. On the other hand, the operator fractional Brownian motion as an extension of the well-known fractional Brownian motion also plays important role in both applications and theory. In this paper, we study the relationship between them. We will construct an approximation sequence of operator fractional Brownian motion based on a martingale difference sequence.
Keywords
Cite
@article{arxiv.1312.2046,
title = {Operator Fractional Brownian Motion and Martingale Differences},
author = {Hongshuai Dai and Tien-Chung Hu and June-Yung Lee},
journal= {arXiv preprint arXiv:1312.2046},
year = {2013}
}